Modelling Non-monotone Risk Aversion and Convex Compensation in Incomplete Markets

By Yang Liu, Zhenyu Shen

Published 2024-06-01

Everscope rating

1595.2

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Martingale and duality method. Problem types: Portfolio Optimization, Risk Management.

arXiv:2406.00435 · Paper rankings

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