Impact of systemic risk regulation on optimal policies and asset prices
Although a few systemic risk management approaches have been proposed in the literature
and implemented in industry, such as stress test-based scenarios, the impact of such …
and implemented in industry, such as stress test-based scenarios, the impact of such …
Optimal multivariate financial decision making
Agents who pursue optimal portfolio choice by optimizing a univariate objective (eg, an
expected utility) obtain optimal payoffs that are increasing with each other (situation of no …
expected utility) obtain optimal payoffs that are increasing with each other (situation of no …
A lattice approach to the Beta distribution induced by stochastic dominance: Theory and applications
Y Braouezec, J Cagnol - Journal of the Operational Research …, 2023 - Taylor & Francis
We provide a comprehensive analysis of the two-parameter Beta distributions seen from the
perspective of second-order stochastic dominance. By changing its parameters through a …
perspective of second-order stochastic dominance. By changing its parameters through a …
A framework of multivariate utility optimization with general benchmarks
Z Liang, Y Liu, L Zhang - arXiv preprint arXiv:2101.06675, 2021 - arxiv.org
Benchmarks in the utility function have various interpretations, including performance
guarantees and risk constraints in fund contracts and reference levels in cumulative …
guarantees and risk constraints in fund contracts and reference levels in cumulative …