منابع مشابه
Exponential Spectral Risk Measures
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility function, and finds that these risk measures have nice intuitive properties. It also discusses how they can be estimated using numerical quadrature methods, and how confidence in...
متن کاملSpectral Risk Measures and Portfolio Selection. Spectral Risk Measures and Portfolio Selection
This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We subsequently apply these ideas to an asset management framework using a database of hedge funds returns chosen for their nonGaussian features. We deal with t...
متن کاملSpectral risk measures and portfolio selection
This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We subsequently apply these ideas to an asset management framework using a database of hedge funds returns chosen for their nonGaussian features. We deal with t...
متن کاملRisk Measures in Engineering Design under Uncertainty
Engineering decisions are invariably made under substantial uncertainty about current and future system cost and response, including cost and response associated with low-probability, high-consequence events. A risk-neutral decision maker would rely on expected values when comparing designs, while a riskaverse decision maker might adopt nonlinear utility functions or failure probability criteri...
متن کاملConstructing Risk Measures from Uncertainty Sets
We illustrate the correspondence between uncertainty sets in robust optimization and some popular risk measures in finance, and show how robust optimization can be used to generalize the concepts of these risk measures. We also show that by using properly defined uncertainty sets in robust optimization models, one can construct coherent risk measures, and address the issue of the computational ...
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: SSRN Electronic Journal
سال: 2019
ISSN: 1556-5068
DOI: 10.2139/ssrn.3390654