The hedging-based utility risk measure-Reference-Cited by-同舟云学术

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The hedging-based utility risk measure

Published:2021 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Dong Linjia,Yang Zhaojun

Publisher

Elsevier BV

Reference19 articles.

1. Spectral measures of risk: A coherent representation of subjective risk aversion;C Acerbi;Journal of Banking & Finance,2002

2. Coherent measures of risk;P Artzner;Mathematical finance,1999

3. Expected utility, penalty functions, and duality in stochastic nonlinear programming;A Ben-Tal;Management Science,1986

4. An old-new concept of convex risk measures: The optimized certainty equivalent;A Ben-Tal;Mathematical Finance,2007

5. Risk classes for structured products: mathematical aspects and their implications on behavioral investors;J Cao;Annals of Finance,2013

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