Optimal trading under coherent comonotonic risk measures

Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/27779

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Campo DC	Valor	Idioma
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.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.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.language.iso	eng	pt_PT
dc.publisher	CEMAPRE	pt_PT
dc.rights	openAccess	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	pt_PT
dc.description.version	info:eu-repo/semantics/acceptedVersion	pt_PT
Aparece nas colecções:	CEMAPRE – Artigos em Revistas Nacionais / Articles in Portuguese Journals DM - Artigos em Revistas Nacionais / Articles in Portuguese Journals

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