Search Results - subject:"convex risk measures"

Equal risk pricing and hedging of financial derivatives with convex risk measures

Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 22 (2022) 1, pp. 47-73

Persistent link: https://www.econbiz.de/10012872521

Adjusted expected shortfall

Burzoni, Matteo; Munari, Cosimo-Andrea; Wang, Ruodu - 2020

We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by …

Persistent link: https://www.econbiz.de/10012421451

A general framework for portfolio theory. Part II: Drawdown risk measures

Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks 6 (2018) 3, pp. 1-31

The aim of this paper is to provide several examples of convex risk measures necessary for the application of the …

Persistent link: https://www.econbiz.de/10011996634

A general framework for portfolio theory : part II: drawdown risk measures

Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 3, pp. 1-31

The aim of this paper is to provide several examples of convex risk measures necessary for the application of the …

Persistent link: https://www.econbiz.de/10011890765

Risk measures for processes and BSDEs

Penner, Irina; Reveillac, Anthony - HAL - 2013

The paper analyzes risk assessment for cash flows in continuous time using the notion of convex risk measures for …

Persistent link: https://www.econbiz.de/10010638975

Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles

Acciaio, Beatrice; Föllmer, Hans; Penner, Irina - London School of Economics (LSE) - 2012

We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as …

Persistent link: https://www.econbiz.de/10011071088

Entropy Coherent and Entropy Convex Measures of Risk

Stadje, Mitja; Laeven, R.J.A. - Tilburg University, Center for Economic Research - 2011

We introduce two subclasses of convex measures of risk, referred to as entropy coherent and entropy convex measures of risk. We prove that convex, entropy convex and entropy coherent measures of risk emerge as certainty equivalents under variational, homothetic and multiple priors preferences,...

Persistent link: https://www.econbiz.de/10011091991