Robust Preferences and Convex Measures of Risk
Robust Preferences and Convex Measures of Risk
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DOI：
10.1007/978-3-662-04790-3_2
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发表时间：
2002
期刊：
影响因子：
--
通讯作者：
H. Föllmer;A. Schied
中科院分区：
文献类型：
--
作者：
H. Föllmer;A. Schied
我们证明了在不确定情况下风险货币度量的稳健表示定理，其中没有先验给出概率度量。它们与吉尔博亚和施梅德勒对金融头寸空间偏好的野蛮表示的有力扩展密切相关。我们讨论计算由鲁棒 Savage 表示中出现的主观损失函数引起的风险的货币度量的问题。
We prove robust representation theorems for monetary measures of risk in a situation of uncertainty, where no probability measure is given a priori. They are closely related to a robust extension of the Savage representation of preferences on a space of financial positions which is due to Gilboa and Schmeidler. We discuss the problem of computing the monetary measure of risk induced by the subjective loss functional which appears in the robust Savage representation.