Coherent risk measures and good-deal bounds View Full Text


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Article Info

DATE

2001-04

AUTHORS

Stefan Jaschke, Uwe Küchler

ABSTRACT

. The relation between coherent risk measures, valuation bounds, and certain classes of portfolio optimization problems is established. One of the key results is that coherent risk measures are essentially equivalent to generalized arbitrage bounds, named “good deal bounds” by Cerny and Hodges (1999). The results are economically general in the sense that they work for any cash stream spaces, be it in dynamic trading settings, one-step models, or deterministic cash streams. They are also mathematically general as they work in (possibly infinite-dimensional) linear spaces.The valuation theory presented seems to fill a gap between arbitrage valuation on the one hand and utility maximization (or equilibrium theory) on the other hand. “Coherent” valuation bounds strike a balance in that the bounds can be sharp enough to be useful in the practice of pricing and still be generic, i.e., somewhat independent of personal preferences, in the way many coherent risk measures are somewhat generic. More... »

PAGES

181-200

References to SciGraph publications

  • 1999. A bipolar theorem for in SÉMINAIRE DE PROBABILITÉS XXXIII
  • 2002. Coherent Risk Measures on General Probability Spaces in ADVANCES IN FINANCE AND STOCHASTICS
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/pl00013530

    DOI

    http://dx.doi.org/10.1007/pl00013530

    DIMENSIONS

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