Optimal Expected Utility Risk Measures and Implied Risk Aversion
Abstract
We introduce a novel class of convex risk measures based on optimal expected utility (OEU). Taking the investor’s point of view, OEU maximizes the sum of capital available today and the certainty equivalent of capital in the... [ view full abstract ]
Authors
- Frank Seifried (University of Trier)
- Sebastian Geissel (HSBC Germany)
- Jörn Sass (TU Kaiserslautern)
- Holger Fink (Nuertingen-Geislingen University of Applied Sciences)
Topic Areas
Risk Measures , Utility Theory
Session
WE-A-B1 » Measuring Risk: Unilateral and Central Exposures (11:30 - Wednesday, 18th July, Beckett 1)
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