John Armstrong

King's College London

Strand

London, WC2R 2LS

United Kingdom

http://https://nms.kcl.ac.uk/john.armstrong/

SCHOLARLY PAPERS

1

DOWNLOADS

37

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

Optimizing S-Shaped Utility and Implications for Risk Management

Number of pages: 29 Posted: 07 Feb 2018
John Armstrong and Damiano Brigo
King's College London and Imperial College London - Department of Mathematics
Downloads 37 (439,606)

Abstract:

Loading...

optimal product design under risk constraints, value at risk constraints, expected shortfall constraints, concave utility constraints, S-shaped utility maximization, limited liability investors, tail risk seeking investors, effective risk constraints, concave utility risk constraints