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Optimization of Risk Exposure

Author

Listed:
  • Alexei Gretchikha

    (Cornell University)

Abstract

Risk exposure can be efficiently optimized in practical situations, using a new apporach to identification of investor's risk aversion.

Suggested Citation

  • Alexei Gretchikha, 2002. "Optimization of Risk Exposure," Finance 0207006, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0207006
    Note: Type of Document - Acrobat PDF; prepared on IBM PC - Acrobat PDF; to print on HP; pages: 3; figures: none
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0207/0207006.pdf
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    More about this item

    Keywords

    risk exposure; risk aversion; risk optimization;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General

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