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http://hdl.handle.net/10400.5/27779| Title: | Optimal trading under coherent comonotonic risk measures |
| Author: | Guerra, Manuel Centeno, M. de Lourdes |
| Keywords: | Coherent Risk Measures Risk-adjusted Risk Measures Optimal Trading Optimal Risk Cedence |
| Issue Date: | 2010 |
| Publisher: | CEMAPRE |
| 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). |
| 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 |
| URI: | http://hdl.handle.net/10400.5/27779 |
| Appears in Collections: | CEMAPRE – Artigos em Revistas Nacionais / Articles in Portuguese Journals DM - Artigos em Revistas Nacionais / Articles in Portuguese Journals |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| MGUERRA. MLCENTENO. 2010..pdf | 231,99 kB | Adobe PDF | View/Open |
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