The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps [HK79]. In the context of optimal portfolio selection with expected utility preferences this question has been the focus of considerable attention over...

Abstract In this paper, we formulate the classical optimal risk allocation problem for convex risk functionals defined on products of real Banach spaces as risk domains. This generality includes in particular the classical case of L p risks but also allows to describe the influence of dependence...

When estimating the risk of a P&L from historical data or Monte Carlo simulation, the robustness of the estimate is important. We argue here that Hampel’s classical notion of qualitative robustness is not suitable for risk measurement, and we propose and analyze a refined notion of robustness...