HARA utility based convex risk measures
Conditional and Dynamic Convex Risk Measures
... the risk assess- ment of final payoffs when additional information is ...conditional convex risk measures as maps, satisfying some natural axioms, which associate to every payoff, rep- ...
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Multivariate risk measures in the non-convex setting
... is convex in case of proportional transaction ...positions based on the idea of considering all selections of the portfolio and checking if one of them is ...of risk measures of ...
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Entropy Coherent and Entropy Convex Measures of Risk
... between risk measurement under the theories of variational, homothetic and multiple priors preferences — ...and risk measurement using convex measures of risk — ...of convex ...
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Disparity, Shortfall, and Twice Endogenous HARA Utility
... Absolute Risk Aversion (HARA) utility, disparity minimization, and ...of HARA utility functions has a minimium- divergence, shortfall-based representation, which means that ...
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Performance evaluation, portfolio selection, and HARA utility
... borrowing based on a quadratic utility ...portfolios based on the rules just described and compute resulting certainty equivalents for an investor whose utility function is actually cubic (and ...
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Convex risk measures for portfolio optimization and concepts of flexibility
... coherent risk measures to quantify and compare uncertain future cash-flows within financial ...ent risk measures to convex risk ...that convex analysis plays a crucial ...
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On Dynamic Coherent and Convex Risk Measures : Risk Optimal Behavior and Information Gains
... quantify risk was first mentioned in [Artzner et ...coherent risk measures assessing risk of projects considered as real valued random ...coherent risk measures is based ...
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Social choice of convex risk measures through Arrovian aggregation of variational preferences
... talk based on this paper was presented at the 10th Society for the Advancement of Economic Theory (SAET) Conference on Current Trends in Economics in Singapore, August ...
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Investment Strategies for HARA Utility Function : A General Algebraic Approximated Solution
... inflation risk is ...approach based on the Feynman-Kaˇc theorem, 1 in an incomplete market and in a complete market with a background risk ...
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The Target-Based Utility Model. The role of Copulas and of Non-Additive Measures
... 2 . In this paper we consider a slightly more general, and completely nat- ural, concept of stochastic precedence and analyze its relations with the notions of stochastic ordering. Motivations for our study arise from ...
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Optimization of Convex Risk Functions
... words: Convex analysis, stochastic optimization, risk measures, mean-variance models, ...expected utility theory, stochastic ordering, and various mean–risk ...between risk ...
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Representing Risk Preferences in Expected Utility Based Decision Models
... the utility function is briefly reviewed. The CARA, CRRA, HARA, EP, PRT, and FTP functional forms are ...a utility function from a risk aversion measure is discussed in some ...marginal ...
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The fundamental nature of HARA utility
... The HARA form itself implies lin- ear risk ...the HARA form is inherent to the economic optimization problem, one which is a fundamental one, appearing in many Macro and Finance ...
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Conditional and dynamic convex risk measures
... these risk measures as worst conditional loss with respect to a set of probabilistic models and a penalty ...successive risk measurements of the same payoff are performed or, in our terminology, when ...
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To split or not to split: capital allocation with convex risk measures
... This particular argument demonstrates some difficulties in the use of con- vex risk measures in risk management. In the case of distortion-exponential measures, using the coherent measure ρ ...
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To split or not to split: Capital allocation with convex risk measures
... This particular argument demonstrates some difficulties in the use of con- vex risk measures in risk management. In the case of distortion-exponential measures, using the coherent measure ρ ...
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Subgradients of Law-Invariant Convex Risk Measures on L1
... law-invariant convex risk measures, optimal capital and risk ...law-invariant convex risk measure on L ∞ is σ(L ∞ , L ∞ )-lower semi-continuous and thus canonically extended to a ...
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Real-valued conditional convex risk measures in Lp(ℱ, R)
... of convex risk measures beyond essentially bounded financial positions is an important topic which has been the theme of recent ...conditional convex risk ...conditional convex ...
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Curvature Measures of Convex Bodies (*).
... Concerning the possibility of (~ localizing >> the classical integral-geometric for- mulae for convex bodies by introducing certain locally defined measures, the [r] ...
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Loss-Based Risk Measures
... under this metric can be characterized by the following: for any G n , G ∈ Q, G n → G if and only if G n (z) → G(z) at any continuity points of G. Most of the time, we work with quantile functions that are continuous on ...
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