Coherent risk measures induced by partially specified probabilities
نویسنده
چکیده
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
منابع مشابه
Spectral Measures of Risk: a Coherent Representation of Subjective Risk Aversion
We study a space of coherent risk measuresMφ obtained as certain expansions of coherent elementary basis measures. In this space, the concept of “Risk Aversion Function” φ naturally arises as the spectral representation of each risk measure in a space of functions of confidence level probabilities. We give necessary and sufficient conditions on φ for Mφ to be a coherent measure. We find in this...
متن کاملPartially-specified probabilities: decisions and games
The paper develops a theory of decision making based on partially-specified probabilities. It takes an axiomatic approach using Anscombe-Aumann’s setting, and is based on the concave integral for capacities. This theory is then expanded to interactive models in order to extend Nash equilibrium by introducing the concept of partially-specified equilibrium.
متن کاملRisk Aversion and Coherent Risk Measures: a Spectral Representation Theorem
We study a space of coherent risk measures Mφ obtained as certain expansions of coherent elementary basis measures. In this space, the concept of “Risk Aversion Function” φ naturally arises as the spectral representation of each risk measure in a space of functions of confidence level probabilities. We give necessary and sufficient conditions on φ for Mφ to be a coherent measure. We find in thi...
متن کاملSupremum Preserving Upper Probabilities
We study the relation between possibility measures and the theory of imprecise probabilities, and argue that possibility measures have an important part in this theory. It is shown that a possibility measure is a coherent upper probability if and only if it is normal. A detailed comparison is given between the possibilistic and natural extension of an upper probability, both in the general case...
متن کاملFinancial risk measurement with imprecise probabilities
Although financial risk measurement is a largely investigated research area, its relationship with imprecise probabilities has been mostly overlooked. However, risk measures can be viewed as instances of upper (or lower) previsions, thus letting us apply the theory of imprecise previsions to them. After a presentation of some well known risk measures, including Value-at-Risk or VaR, coherent an...
متن کامل