Matches in SemOpenAlex for { <https://semopenalex.org/work/W2613449725> ?p ?o ?g. }
- W2613449725 endingPage "1060" @default.
- W2613449725 startingPage "1020" @default.
- W2613449725 abstract "Abstract This article studies the optimal portfolio selection of expected utility‐maximizing investors who must also manage their market‐risk exposures. The risk is measured by a so‐called weighted value‐at‐risk (WVaR) risk measure, which is a generalization of both value‐at‐risk (VaR) and expected shortfall (ES). The feasibility, well‐posedness, and existence of the optimal solution are examined. We obtain the optimal solution (when it exists) and show how risk measures change asset allocation patterns. In particular, we characterize three classes of risk measures: the first class will lead to models that do not admit an optimal solution, the second class can give rise to endogenous portfolio insurance, and the third class, which includes VaR and ES, two popular regulatory risk measures, will allow economic agents to engage in “regulatory capital arbitrage,” incurring larger losses when losses occur." @default.
- W2613449725 created "2017-05-19" @default.
- W2613449725 creator A5069358717 @default.
- W2613449725 date "2017-08-29" @default.
- W2613449725 modified "2023-10-09" @default.
- W2613449725 title "Risk management with weighted VaR" @default.
- W2613449725 cites W1587893424 @default.
- W2613449725 cites W1644960063 @default.
- W2613449725 cites W1647779468 @default.
- W2613449725 cites W1878329713 @default.
- W2613449725 cites W1963901383 @default.
- W2613449725 cites W1969429114 @default.
- W2613449725 cites W1979627408 @default.
- W2613449725 cites W1983341905 @default.
- W2613449725 cites W1988295558 @default.
- W2613449725 cites W1991898715 @default.
- W2613449725 cites W1994728611 @default.
- W2613449725 cites W1999416138 @default.
- W2613449725 cites W2006776755 @default.
- W2613449725 cites W2019291268 @default.
- W2613449725 cites W2027395414 @default.
- W2613449725 cites W2034942366 @default.
- W2613449725 cites W2053984877 @default.
- W2613449725 cites W2056819186 @default.
- W2613449725 cites W2057489516 @default.
- W2613449725 cites W2061260390 @default.
- W2613449725 cites W2077312749 @default.
- W2613449725 cites W2079684391 @default.
- W2613449725 cites W2096603854 @default.
- W2613449725 cites W2106391824 @default.
- W2613449725 cites W2109122936 @default.
- W2613449725 cites W2110939842 @default.
- W2613449725 cites W2112408160 @default.
- W2613449725 cites W2112426182 @default.
- W2613449725 cites W2113966200 @default.
- W2613449725 cites W2115814664 @default.
- W2613449725 cites W2121183216 @default.
- W2613449725 cites W2126239906 @default.
- W2613449725 cites W2129462326 @default.
- W2613449725 cites W2132527237 @default.
- W2613449725 cites W2134306794 @default.
- W2613449725 cites W2139626805 @default.
- W2613449725 cites W2142859812 @default.
- W2613449725 cites W2149497424 @default.
- W2613449725 cites W2158215277 @default.
- W2613449725 cites W2158732749 @default.
- W2613449725 cites W2167326844 @default.
- W2613449725 cites W2267865451 @default.
- W2613449725 cites W2285676866 @default.
- W2613449725 cites W2611701687 @default.
- W2613449725 cites W2949947475 @default.
- W2613449725 cites W2952436407 @default.
- W2613449725 cites W3103449843 @default.
- W2613449725 cites W3121547422 @default.
- W2613449725 cites W3122482627 @default.
- W2613449725 cites W3122929545 @default.
- W2613449725 cites W3123079000 @default.
- W2613449725 cites W3123180508 @default.
- W2613449725 cites W3123552065 @default.
- W2613449725 cites W3123806360 @default.
- W2613449725 cites W3123988513 @default.
- W2613449725 cites W3124112991 @default.
- W2613449725 cites W3124407081 @default.
- W2613449725 cites W3124515977 @default.
- W2613449725 cites W3124574885 @default.
- W2613449725 cites W3124854273 @default.
- W2613449725 cites W3125944807 @default.
- W2613449725 cites W3125945191 @default.
- W2613449725 cites W4232474910 @default.
- W2613449725 doi "https://doi.org/10.1111/mafi.12160" @default.
- W2613449725 hasPublicationYear "2017" @default.
- W2613449725 type Work @default.
- W2613449725 sameAs 2613449725 @default.
- W2613449725 citedByCount "19" @default.
- W2613449725 countsByYear W26134497252018 @default.
- W2613449725 countsByYear W26134497252020 @default.
- W2613449725 countsByYear W26134497252021 @default.
- W2613449725 countsByYear W26134497252022 @default.
- W2613449725 countsByYear W26134497252023 @default.
- W2613449725 crossrefType "journal-article" @default.
- W2613449725 hasAuthorship W2613449725A5069358717 @default.
- W2613449725 hasConcept C10138342 @default.
- W2613449725 hasConcept C105795698 @default.
- W2613449725 hasConcept C106159729 @default.
- W2613449725 hasConcept C11534374 @default.
- W2613449725 hasConcept C134306372 @default.
- W2613449725 hasConcept C138142054 @default.
- W2613449725 hasConcept C139819358 @default.
- W2613449725 hasConcept C149782125 @default.
- W2613449725 hasConcept C154945302 @default.
- W2613449725 hasConcept C160623529 @default.
- W2613449725 hasConcept C162118730 @default.
- W2613449725 hasConcept C162324750 @default.
- W2613449725 hasConcept C175444787 @default.
- W2613449725 hasConcept C177148314 @default.
- W2613449725 hasConcept C181622380 @default.
- W2613449725 hasConcept C205706631 @default.
- W2613449725 hasConcept C2776291640 @default.