4 papers
The Interplay between Utility and Risk in Portfolio Selection
Leonardo Baggiani, Martin Herdegen, Nazem Khan
We revisit the problem of portfolio selection, where an investor maximizes utility subject to a risk constraint. Our framework is very general and accommodates a wide range of util…
Risk, utility and sensitivity to large losses
Martin Herdegen, Nazem Khan, Cosimo Munari
Risk and utility functionals are fundamental building blocks in economics and finance. In this paper we investigate under which conditions a risk or utility functional is sensitive…
-arbitrage and -consistent pricing for star-shaped risk measures
Martin Herdegen, Nazem Khan
This paper revisits mean-risk portfolio selection in a one-period financial market, where risk is quantified by a star-shaped risk measure . We make three contributions. First,…
Mean- portfolio selection and -arbitrage for coherent risk measures
Martin Herdegen, Nazem Khan
We revisit mean-risk portfolio selection in a one-period financial market where risk is quantified by a positively homogeneous risk measure . We first show that under mild assum…