Convex measures of risk and trading constraints
نویسندگان
چکیده
منابع مشابه
Convex measures of risk and trading constraints
We shall study the paper [3] by H.Föllmer and A. Schied. Here theauthors introduce the notion of a convex measure of risk, an extensionof the concept of a coherent risk measure defined in Artzner et al.(1999), and they prove a corresponding extension of the representationtheorem in terms of probability measures on the underlying space ofscenarios. As a case study, they c...
متن کاملConvex duality in mean-variance hedging under convex trading constraints
We study mean-variance hedging under portfolio constraints in a general semimartingale model. The constraints are formulated via predictable correspondences, meaning that the trading strategy is restricted to lie in a closed convex set which may depend on the state and time in a predictable way. To obtain the existence of a solution, we first establish the closedness in L2 of the space of all g...
متن کاملConvex and coherent risk measures
We discuss the quantification of financial risk in terms of monetary risk measures. Special emphasis is on dual representations of convex risk measures, relations to expected utility and other valuation concepts, conditioning, and consistency in discrete time.
متن کاملSatisfying convex risk limits by trading
A random variable, representing the final position of a trading strategy, is deemed acceptable if under each of a variety of probability measures its expectation dominates a floor associated with the measure. The set of random variables representing pre-final positions from which it is possible to trade to final acceptability is characterized. In particular, the set of initial capitals from whi...
متن کاملRobust preferences and convex measures of risk
We prove robust representation theorems for monetary measures of risk in a situation of uncertainty, where no probability measure is given a priori. They are closely related to a robust extension of the Savage representation of preferences on a space of financial positions which is due to Gilboa and Schmeidler. We discuss the problem of computing the monetary measure of risk induced by the subj...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2002
ISSN: 0949-2984
DOI: 10.1007/s007800200072