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The importance of dynamic risk constraints for limited liability operators

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Bibliographic Details
Main Authors: John, Armstrong, Damiano, Brigo, Alex S. L., Tse
Format: Book
Language:English
Published: Springer 2023
Subjects:
prevalent risk measures
entire trading horizon
Online Access:https://link.springer.com/article/10.1007/s10479-023-05295-5
https://dlib.phenikaa-uni.edu.vn/handle/PNK/7908
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spelling oai:localhost:PNK-79082023-04-13T09:17:40Z The importance of dynamic risk constraints for limited liability operators John, Armstrong Damiano, Brigo Alex S. L., Tse prevalent risk measures entire trading horizon CC BY Previous literature shows that prevalent risk measures such as value at risk or expected shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with S-shaped utility function in the context of portfolio optimisation. However, these conclusions hold only when the constraints are static in the sense that the risk measure is just applied to the terminal portfolio value. In this paper, we consider a portfolio optimisation problem featuring S-shaped utility and a dynamic risk constraint which is imposed throughout the entire trading horizon. 2023-04-13T09:17:40Z 2023-04-13T09:17:40Z 2023 Book https://link.springer.com/article/10.1007/s10479-023-05295-5 https://dlib.phenikaa-uni.edu.vn/handle/PNK/7908 en application/pdf Springer
institution Digital Phenikaa
collection Digital Phenikaa
language English
topic prevalent risk measures
entire trading horizon
spellingShingle prevalent risk measures
entire trading horizon
John, Armstrong
Damiano, Brigo
Alex S. L., Tse
The importance of dynamic risk constraints for limited liability operators
description CC BY
format Book
author John, Armstrong
Damiano, Brigo
Alex S. L., Tse
author_facet John, Armstrong
Damiano, Brigo
Alex S. L., Tse
author_sort John, Armstrong
title The importance of dynamic risk constraints for limited liability operators
title_short The importance of dynamic risk constraints for limited liability operators
title_full The importance of dynamic risk constraints for limited liability operators
title_fullStr The importance of dynamic risk constraints for limited liability operators
title_full_unstemmed The importance of dynamic risk constraints for limited liability operators
title_sort importance of dynamic risk constraints for limited liability operators
publisher Springer
publishDate 2023
url https://link.springer.com/article/10.1007/s10479-023-05295-5
https://dlib.phenikaa-uni.edu.vn/handle/PNK/7908
_version_ 1763090282907172864
score 8.891145

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