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Resumo(s)
This paper deals with the optimal risk trading from the point of view of an individual who rates his position using a coherent comonotonic risk measure, assuming that the market price is also coherent and comonotonic. We obtain a simple and intuitive explicit solution in terms of Kusuoka representation
Descrição
Palavras-chave
Coherent Risk Measures Risk-adjusted Risk Measures Optimal Trading Optimal Risk Cedence
Contexto Educativo
Citação
Guerra, Manuel, and M. de Lourdes Centeno. (2010). “Optimal trading under coherent comonotonic risk measures”. [PDF] ulisboa - cemapre.iseg.ulisboa.pt . Preprint (Search PDF in 2023).