| dc.contributor.author | Guerra, Manuel | |
| dc.contributor.author | Centeno, M. de Lourdes | |
| dc.date.accessioned | 2023-05-15T14:02:26Z | |
| dc.date.available | 2023-05-15T14:02:26Z | |
| dc.date.issued | 2010 | |
| dc.description.abstract | 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 | pt_PT |
| dc.description.version | info:eu-repo/semantics/acceptedVersion | pt_PT |
| dc.identifier.citation | 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). | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.5/27779 | |
| dc.language.iso | eng | pt_PT |
| dc.publisher | CEMAPRE | pt_PT |
| dc.subject | Coherent Risk Measures | pt_PT |
| dc.subject | Risk-adjusted Risk Measures | pt_PT |
| dc.subject | Optimal Trading | pt_PT |
| dc.subject | Optimal Risk Cedence | pt_PT |
| dc.title | Optimal trading under coherent comonotonic risk measures | pt_PT |
| dc.type | preprint | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | preprint | pt_PT |
