On s-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model
Year of publication: |
2007-03
|
---|---|
Authors: | Krätschmer, Volker |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Convex risk measures | model uncertainty | s-additive robust representation | Fatou property | nonsequential Fatou property | strong s-additive robust representation | Krein-Smulian theorem | Greco theorem | inner Daniell stone theorem | general Dini theorem | Simons’ lemma |
-
Entropy Coherent and Entropy Convex Measures of Risk
Stadje, Mitja, (2011)
-
A Scapegoat Model of Exchange Rate Fluctuations
Bacchetta, Philippe, (2004)
-
Dilatation monotone risk measures are law invariant
Cherny, Alexander, (2007)
- More ...
-
A Microeconomic Explanation of the EPK Paradox
Härdle, Wolfgang, (2009)
-
Reference Dependent Preferences and the EPK Puzzle
Grith, Maria, (2013)
-
Parametric estimation of risk neutral density functions
Grith, Maria, (2010)
- More ...