capital increase is needed. We introduce the scalarized utility-based multi-asset (SUBMA) risk measure which optimizes the … risk measure is coherent if the utility function has constant relative risk aversion and the capital adequacy test leads to … a coherent acceptance set. In a one-period financial market model we present a sufficient condition for the SUBMA risk …

The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained … constraint to a portfolio selection model using value at risk as constraint. The former is a coherent risk measure for utility … functions with constant relative risk aversion and allows individual specifications to the investor's risk attitude and time …

We discuss classes of risk measures in terms both of their axiomatic definitions and of the economic theories of choice …, proposed by Gerber (1974), Dhaene et al. (2003), whereas Yaari's (1987) dual theory of risk can be viewed as the source of the … premium principles are complementary, without either of the two performing completely satisfactorily as a risk measure. Using …