Nazem Khan

activity

20202025

collaborators

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3 papers · 1 filter

q-fin.MF2025

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…

q-fin.MF2022

$ρ$ -arbitrage and $ρ$ -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 $ρ$ . We make three contributions. First,…

q-fin.MF2020

Mean- $ρ$ portfolio selection and $ρ$ -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 $ρ$ . We first show that under mild assum…

The Interplay between Utility and Risk in Portfolio Selection

ρ-arbitrage and ρ-consistent pricing for star-shaped risk measures

Mean-ρ portfolio selection and ρ-arbitrage for coherent risk measures

$ρ$ -arbitrage and $ρ$ -consistent pricing for star-shaped risk measures

Mean- $ρ$ portfolio selection and $ρ$ -arbitrage for coherent risk measures