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Moving to goalposts : subjective performance benchmarks and the Aumann-Serrano measure of riskiness

Bennett, Christopher J.; Thompson, Brennan S. - 2014 - Rev.

Persistent link: https://www.econbiz.de/10011382163

Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation

Daníelsson, Jón (contributor) - 2001

Persistent link: https://www.econbiz.de/10001594651

Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation

Daníelsson, Jón; Jorgensen, Bjorn N.; Vries, Casper G. de - 2001

Persistent link: https://www.econbiz.de/10001720508

Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation

Daníelsson, Jón; Jorgensen, Bjorn N.; Vries, Casper G. de - In: Annals of finance 4 (2008) 3, pp. 345-367

Persistent link: https://www.econbiz.de/10003714674

A note on scenario analysis in the measurement of operational risk capital: a change of measure approach

Babbel, David F. - 2010

Persistent link: https://www.econbiz.de/10010251459

Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation

Daníelsson, Jón; Jorgensen, Bjorn N.; Vries, Casper G. de - 2001

We characterize the investor’s optimal portfolio allocation subject to a budget constraint and a probabilistic VaR constraint in complete markets environments with a finite number of states. The set of feasible portfolios might no longer be connected or convex, while the number of local optima...

Persistent link: https://www.econbiz.de/10011317459

A comedy of errors : misguided policy, mis-sold mortages and more

Miller, Marcus; Zhang, Lei; Rastapana, Songklod - 2016

Persistent link: https://www.econbiz.de/10011550873

Risk Measures and Financial Innovation with Backward Stochastic Difference Equations

Antar, Ezequiel - 2019

equilibria is a novel theory of backward stochastic difference equations (BSΔEs) in discrete time, which we develop in analogy to … the currently incomplete theory of backward stochastic differential equations (BSDEs) in continuous time. The new tool is … and the implications for real-life financial market structures which elude the continuous time BSDE theory. A simple …

Persistent link: https://www.econbiz.de/10012903656

A theory of misperception in a stochastic dominance framework and its application to structured financial products

Castellano, Rosella; Cerqueti, Roy - In: IMA journal of management mathematics 29 (2018) 1, pp. 23-37

Persistent link: https://www.econbiz.de/10011858928

Innovative Kapitalanlage-Konzepte : ART, Behavioral Finance, Hedge Funds, Neue Märkte, Private Equity, Venture Capital

Hehn, Elisabeth (ed.) - 2000

Persistent link: https://www.econbiz.de/10001459414