2 papers
q-fin.PM2014
Optimal Portfolio Problem Using Entropic Value at Risk: When the Underlying Distribution is Non-Elliptical
Hassan Omidi Firouzi, Andrew Luong
This paper is devoted to study the optimal portfolio problem. Harry Markowitz's Ph.D. thesis prepared the ground for the mathematical theory of finance. In modern portfolio theory,…
q-fin.RM2014
On the Depletion Problem for an Insurance Risk Process: New Non-ruin Quantities in Collective Risk Theory
Zied Ben-Salah, Hélène Guérin, Manuel Morales +1
The field of risk theory has traditionally focused on ruin-related quantities. In particular, the socalled Expected Discounted Penalty Function has been the object of a thorough st…