Robust return risk measures
Robust return risk measures
复制标题
稳健的回报风险措施
DOI：
10.2139/ssrn.2828181
复制
发表时间：
2016
期刊：
影响因子：
--
通讯作者：
Emanuela Rosazza Gianin
中科院分区：
文献类型：
--
作者：
Fabio Bellini;R. Laeven;Emanuela Rosazza Gianin
在本文中，我们利用Orlicz风险度量与短缺风险Föllmer和Sched(随机金融)的自然对应关系，根据其接受集的性质为Orlicz风险度量提供了公理基础。De Gruyter，柏林，2011)，因此与韦伯(Math Financ16：419-442,2006)中的特征相似。从金融角度来看，Orlicz风险度量评估收益的随机性，而不是通常使用风险度量来评估头寸货币价值的随机性。与短缺风险的对应导致了Orlicz风险度量的几个粗暴版本，及其优化的平移不变量扩展(Rockafella和Uryasev in J Risk 2：21-42,2000，GoovAerts等人)。在Insur Math Econ 34：505-516,2004)，源于Gilboa和Schmeidler(J Math Econ 18：141-153,1989)中的模糊厌恶方法，Maccheroni等人。(Economrica 74：1447-1498,2006)，Chateauneuf和Faro(J Math Econ 45：-558,2010)，或来自多个Young函数。我们研究了这些稳健Orlicz风险度量的性质，得到了它们的对偶表示，并给出了一些例子和应用。
In this paper we provide an axiomatic foundation to Orlicz risk measures in terms of properties of their acceptance sets, by exploiting their natural correspondence with shortfall risk Föllmer and Schied (Stochastic finance. De Gruyter, Berlin, 2011), thus paralleling the characterization in Weber (Math Financ 16:419–442, 2006). From a financial point of view, Orlicz risk measures assess the stochastic nature of returns, in contrast to the common use of risk measures to assess the stochastic nature of a position’s monetary value. The correspondence with shortfall risk leads to several robustified versions of Orlicz risk measures, and of their optimized translation invariant extensions (Rockafellar and Uryasev in J Risk 2:21–42, 2000, Goovaerts et al. in Insur Math Econ 34:505–516, 2004), arising from an ambiguity averse approach as in Gilboa and Schmeidler (J Math Econ 18:141–153, 1989), Maccheroni et al. (Econometrica 74:1447–1498, 2006), Chateauneuf and Faro (J Math Econ 45:535–558, 2010), or from a multiplicity of Young functions. We study the properties of these robust Orlicz risk measures, derive their dual representations, and provide some examples and applications.
DOI：
10.1016/b978-0-12-386908-1.00037-9
发表时间：
2018-11
期刊：
Wiley Series in Probability and Statistics
影响因子：
--
作者：
Bruce E. Blaine
通讯作者：
Bruce E. Blaine