Parametric measures of variability induced by risk measures

Estimation of portfolio efficient frontier by different measures of risk via ‎DEA

In this paper, linear Data Envelopment Analysis models are used to estimate Markowitz efficient frontier. Conventional DEA models assume non-negative values for inputs and outputs. however, variance is the only variable in these models that takes non-negative values. Therefore, negative data models which the risk of the assets had been used as an input and expected return was the output are uti...

Anthropometric Measures and the Risk of Coronary Artery Disease

Robust representation of convex risk measures by probability measures

Artzner, Delbaen, Eber and Heath ([1]) initialized a new direction to assess risks of financial positions by an axiomatic approach. It relies fundamentally on the concept of risk measures, which are functionals on sets of financial positions satisfying some basic properties. The convex risk measures are exactly those ones which guarantee that diversification does not increase the risk. From the...

Robustifying Convex Risk Measures: A Non-Parametric Approach

This paper introduces a framework for robustifying convex, law invariant risk measures, to deal with ambiguity of the distribution of random asset losses in portfolio selection problems. The robustified risk measures are defined as the worst-case portfolio risk over the ambiguity set of loss distributions, where an ambiguity set is defined as a neighborhood around a reference probability measur...

Coherent risk measures induced by partially specified probabilities

Partially specified probabilities induce coherent risk measures of a special kind. These measures are axiomatized using the four axioms that characterize coherent risk measures and an additional one, which requires that the risk measure be additive on the set of efficient portfolios. Journal of Economic Literature classification numbers: C61, C72, D81, D82, D83