The importance of dynamic risk constraints for limited liability operators
CC BY
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| Định dạng: | Sách |
| Ngôn ngữ: | English |
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Springer
2023
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| Truy cập trực tuyến: | https://link.springer.com/article/10.1007/s10479-023-05295-5 https://dlib.phenikaa-uni.edu.vn/handle/PNK/7908 |
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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 |