In financial optimization, the future distribution of wealth is projected by methods of statistical estimation and simulation. For making decisions, different wealth distributions have to be compared and the optimal has to be chosen. In this paper we discuss methods of assigning measures for risk (which are to be minimized) and measures for safety (which are to be maximized) to wealth distributions. Some properties of the presented measures are shown
Economic agents are constantly making decisions to maximize their expected utilities while accepting...
A new measure of risk is introduced for a sequence of random incomes adapted to some filtration. Thi...
This paper examines the properties that a risk measure should satisfy in order to characterize an in...
This thesis focuses on several classes of risk measures, related axioms and properties. We have intr...
The minimization of general risk or dispersion measures is becoming more and more important in Portf...
We consider the problem of optimizing a portfolio of n assets, whose returns are described by a join...
The minimization of general risk or dispersion measures is becoming more and more important in Portf...
This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we...
The problem of investing money is common to citizens, families and companies. In this chapter, we in...
This paper proposes new performance measures to be regarded as alternatives for the most popular mea...
We examine properties of risk measures that can be considered to be in line with some 'best practice...
Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of ...
This work is focused on models of optimal asset and liability management. The practical section illu...
An important aspect in portfolio optimization is the quantification of risk. Variance was the starti...
In this dissertation, we study the application of risk measures to portfolio optimisation. A risk me...
Economic agents are constantly making decisions to maximize their expected utilities while accepting...
A new measure of risk is introduced for a sequence of random incomes adapted to some filtration. Thi...
This paper examines the properties that a risk measure should satisfy in order to characterize an in...
This thesis focuses on several classes of risk measures, related axioms and properties. We have intr...
The minimization of general risk or dispersion measures is becoming more and more important in Portf...
We consider the problem of optimizing a portfolio of n assets, whose returns are described by a join...
The minimization of general risk or dispersion measures is becoming more and more important in Portf...
This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we...
The problem of investing money is common to citizens, families and companies. In this chapter, we in...
This paper proposes new performance measures to be regarded as alternatives for the most popular mea...
We examine properties of risk measures that can be considered to be in line with some 'best practice...
Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of ...
This work is focused on models of optimal asset and liability management. The practical section illu...
An important aspect in portfolio optimization is the quantification of risk. Variance was the starti...
In this dissertation, we study the application of risk measures to portfolio optimisation. A risk me...
Economic agents are constantly making decisions to maximize their expected utilities while accepting...
A new measure of risk is introduced for a sequence of random incomes adapted to some filtration. Thi...
This paper examines the properties that a risk measure should satisfy in order to characterize an in...