Optimal Expected Utility Risk Measures and Implied Risk Aversion


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 ]


  1. Frank Seifried (University of Trier)
  2. Sebastian Geissel (HSBC Germany)
  3. Jörn Sass (TU Kaiserslautern)
  4. Holger Fink (Nuertingen-Geislingen University of Applied Sciences)

Topic Areas

Risk Measures , Utility Theory


WE-A-B1 » Measuring Risk: Unilateral and Central Exposures (11:30 - Wednesday, 18th July, Beckett 1)

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