Risk Measures in the Form of Infimal Convolution

2021 ◽  
Vol 57 (1) ◽  
pp. 30-46
Author(s):  
V. S. Kirilyuk
Keyword(s):  
Risk Measures ◽  
Infimal Convolution

scholarly journals Set-Valued T-Translative Functions and Their Applications in Finance

Mathematics ◽  
2021 ◽  
Vol 9 (18) ◽  
pp. 2270
Author(s):  
Andreas H. Hamel ◽  
Frank Heyde
Keyword(s):  
Hilbert Spaces ◽  
Risk Measures ◽  
Random Sets ◽  
Scalar Case ◽  
Infimal Convolution ◽  
Dual Representation ◽  
New Concepts ◽  
Wide Range ◽  
Primal Dual ◽  
Vector Valued

A theory for set-valued functions is developed, which are translative with respect to a linear operator. It is shown that such functions cover a wide range of applications, from projections in Hilbert spaces, set-valued quantiles for vector-valued random variables, to scalar or set-valued risk measures in finance with defaultable or nondefaultable securities. Primal, dual, and scalar representation results are given, among them an infimal convolution representation, which is not so well known even in the scalar case. Along the way, new concepts of set-valued lower/upper expectations are introduced and dual representation results are formulated using such expectations. An extension to random sets is discussed at the end. The principal methodology consisted of applying the complete lattice framework of set optimization.

Utilizing Downside Risk Measures

2014 ◽  
Vol 31 (3) ◽  
pp. 42-50 ◽  
Author(s):  
Michelle McCarthy
Keyword(s):  
Risk Measures ◽  
Downside Risk

Risk measures and the impact of asset price bubbles

2015 ◽  
Vol 17 (3) ◽  
pp. 35-56 ◽  
Author(s):  
Robert Jarrow ◽  
Felipe Bastos G. Silva
Keyword(s):  
Risk Measures ◽  
Asset Price ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
The Impact

Quality control of risk measures: backtesting VAR models

2007 ◽  
Vol 9 (2) ◽  
pp. 39-54 ◽  
Author(s):  
Victor de la Pena ◽  
Ricardo Rivera ◽  
Jesus Ruiz-Mata
Keyword(s):  
Quality Control ◽  
Risk Measures ◽  
Var Models

Alternative risk measures for alternative investments

2006 ◽  
Vol 8 (4) ◽  
pp. 1-32 ◽  
Author(s):  
A Chabaane ◽  
J Laurent ◽  
Y Malevergne ◽  
F Turpin
Keyword(s):  
Risk Measures ◽  
Alternative Investments

Two sides of the same coin: risk measures in the energy markets

2016 ◽  
Vol 9 (2) ◽  
pp. 51-68 ◽  
Author(s):  
Saša Žiković ◽  
Ivana Tomas Žiković
Keyword(s):  
Risk Measures ◽  
Energy Markets ◽  
Two Sides

Long–short portfolio optimization in the presence of discrete asset choice constraints and two risk measures

2010 ◽  
Vol 13 (2) ◽  
pp. 71-100 ◽  
Author(s):  
Ritesh Kumar ◽  
Gautam Mitra ◽  
Diana Roman
Keyword(s):  
Portfolio Optimization ◽  
Risk Measures

An adaptive procedure for estimating coherent risk measures based on generalized scenarios

2008 ◽  
Vol 11 (4) ◽  
pp. 1-31 ◽  
Author(s):  
Vadim Lesnevski ◽  
Barry Nelson ◽  
Jeremy Staum
Keyword(s):  
Risk Measures ◽  
Coherent Risk Measures ◽  
Adaptive Procedure ◽  
Coherent Risk

An empirical investigation of the rank correlation between different risk measures

2004 ◽  
Vol 6 (4) ◽  
pp. 55-74 ◽  
Author(s):  
Andreas Pfingsten ◽  
Peter Wagner ◽  
Carsten Wolferink
Keyword(s):  
Empirical Investigation ◽  
Risk Measures ◽  
Rank Correlation
Sign in / Sign up

Export Citation Format

Share Document