SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES
نویسندگان
چکیده
منابع مشابه
Shortfall-dependant Risk Measures (and Previsions)
Because of their simplicity, risk measures are often employed in financial risk evaluations and related decisions. In fact, the risk measure ρ(X) of a random variable X is a real number customarily determining the amount of money needed to face the potential losses X might cause. At a sort of second-order level, the adequacy of ρ(X) may be investigated considering the part of the losses it does...
متن کاملExcess invariance and shortfall risk measures
This paper introduces an axiom of excess invariance for risk measures, meaning insensitivity to the amount by which a portfolio’s value exceeds a benchmark. The paper also introduces the class of shortfall risk measures, which are excess-invariant as well as normalized, non-negative, and monotone non-increasing. Shortfall risk measures are suitable for regulatory or risk management applications...
متن کاملEntropy measures and granularity measures for set-valued information systems
Set-valued information systems are generalized models of single-valued information systems. In this paper, we propose two new relations for set-valued information systems. Based on these two relations, the concepts of knowledge information entropy, knowledge rough entropy, knowledge granulation and knowledge granularity measure are defined in set-valued information systems, and some properties ...
متن کاملVector-valued coherent risk measures
We define (d, n)−coherent risk measures as set-valued maps from Ld into IR satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner, Delbaen, Eber and Heath (1998). We then discuss the aggregation issue, i.e. the passage from IR−valued random portfolio to IR−valued measure of risk. Necessary and sufficient conditions o...
متن کاملComplex Fuzzy Set-Valued Complex Fuzzy Measures and Their Properties
Let F*(K) be the set of all fuzzy complex numbers. In this paper some classical and measure-theoretical notions are extended to the case of complex fuzzy sets. They are fuzzy complex number-valued distance on F*(K), fuzzy complex number-valued measure on F*(K), and some related notions, such as null-additivity, pseudo-null-additivity, null-subtraction, pseudo-null-subtraction, autocontionuous f...
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: International Journal of Theoretical and Applied Finance
سال: 2017
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024917500261