English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

Motivated by optimal investment problems in mathematical finance, we considera variational problem of Neyman-Pearson type for law-invariant robust utilityfunctionals and convex risk measures. Explicit solutions are found forquantile-based coherent risk measures and related utility functionals.Typically, these solutions exhibit a critical phenomenon: If the capitalconstraint is below some critical value, then the solution will coincide with aclassical solution; above this critical value, the solution is a superpositionof a classical solution and a less risky or even risk-free investment. Forgeneral risk measures and utility functionals, it is shown that there exists asolution that can be written as a deterministic increasing function of theprice density

On the Neyman–Pearson problem for law-invariant risk measures and robust utility functionals