The classical mean-variance investment model is simple, elegant, and popular. As such, it is also subject to criticisms. One unsatisfactory feature of the model is that variance treats the upside and downside equally as risks. In this regard, the downside Lower Partial Moments (LPM) are more attractive as alternative risk measures, since they only penalize the downside. In the meanwhile, consid...

In this paper we introduce convex imprecise previsions as a special class of imprecise previsions, showing that they retain or generalise most of the relevant properties of coherent imprecise previsions but are not necessarily positively homogeneous. The broader class of weakly convex imprecise previsions is also studied and its fundamental properties are demonstrated. The notions of weak conve...

We extend the definition of a convex risk measure to a conditional framework where additional information is available. We characterize these risk measures through the associated acceptance sets and prove a representation result in terms of conditional expectations. As an example we consider the class of conditional entropic risk measures. A new regularity property of conditional risk measures ...

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...

This note extends the concept of a coherent risk measure to make it more consistent with a firm’s capital budgeting perspective. A coherent risk measure defines the risk of a portfolio to be that amount of cash that must be added to the portfolio such that it becomes acceptable to a regulator. As such, a coherent risk measure implicitly assumes that the firm has already made its capital budgeti...

in this paper, we present a revised similarity measure based onchen-and-chen's similarity measure for fuzzy risk analysis. the revisedsimilarity measure uses the corrected formulae to calculate the centre ofgravity points, therefore it is more  effective than the chen-and-chen'smethod. the revised similarity measure can overcome the drawbacks of theexisting methods. we have also proposed a new ...