Dual characterization of properties of risk measures on Orlicz hearts View Full Text


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Article Info

DATE

2008-07-29

AUTHORS

Patrick Cheridito, Tianhui Li

ABSTRACT

We extend earlier representation results for monetary risk measures on Orlicz hearts. Then we give general conditions for such risk measures to be Gâteaux-differentiable, strictly monotone with respect to almost sure inequality, strictly convex modulo translation, strictly convex modulo comonotonicity, or monotone with respect to different stochastic orders. The theoretical results are used to analyze various specific examples of risk measures. More... »

PAGES

29

References to SciGraph publications

  • 2007. Stochastic Orders in NONE
  • 2002-10. Convex measures of risk and trading constraints in FINANCE AND STOCHASTICS
  • 2001. On law invariant coherent risk measures in ADVANCES IN MATHEMATICAL ECONOMICS
  • 2006. Law invariant risk measures have the Fatou property in ADVANCES IN MATHEMATICAL ECONOMICS
  • 2005. Law invariant convex risk measures in ADVANCES IN MATHEMATICAL ECONOMICS
  • 2002. Robust Preferences and Convex Measures of Risk in ADVANCES IN FINANCE AND STOCHASTICS
  • 2006-01. Generalized deviations in risk analysis in FINANCE AND STOCHASTICS
  • 2006-04-21. Weighted V@R and its Properties in FINANCE AND STOCHASTICS
  • 2002. Coherent Risk Measures on General Probability Spaces in ADVANCES IN FINANCE AND STOCHASTICS
  • 2006-11-07. Optimal investments for risk- and ambiguity-averse preferences: a duality approach in FINANCE AND STOCHASTICS
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/s11579-008-0013-7

    DOI

    http://dx.doi.org/10.1007/s11579-008-0013-7

    DIMENSIONS

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