Star-Shaped Risk Measures
| Autor: | Erio Castagnoli, Giacomo Cattelan, Fabio Maccheroni, Claudio Tebaldi, Ruodu Wang |
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| Rok vydání: | 2022 |
| Předmět: |
CONVEXITY
MONOTONICITY ALONG RAYS Management Science and Operations Research CAPITAL REQUIREMENTS Functional Analysis (math.FA) Computer Science Applications FOS: Economics and business Mathematics - Functional Analysis LIQUIDITY RISK COMPETITIVE PRICING Risk Management (q-fin.RM) FOS: Mathematics Economics - Theoretical Economics Theoretical Economics (econ.TH) CONVEXITY CAPITAL REQUIREMENTS LIQUIDITY RISK COMPETITIVE PRICING MONOTONICITY ALONG RAYS Quantitative Finance - Risk Management |
| Zdroj: | Operations Research. 70:2637-2654 |
| ISSN: | 1526-5463 0030-364X |
| DOI: | 10.1287/opre.2022.2303 |
| Popis: | In this paper monetary risk measures that are positively superhomogeneous, called star-shaped risk measures, are characterized and their properties studied. The measures in this class, which arise when the controversial subadditivity property of coherent risk measures is dispensed with and positive homogeneity is weakened, include all practically used risk measures, in particular, both convex risk measures and Value-at-Risk. From a financial viewpoint, our relaxation of convexity is necessary to quantify the capital requirements for risk exposure in the presence of liquidity risk, competitive delegation, or robust aggregation mechanisms. From a decision theoretical perspective, star-shaped risk measures emerge from variational preferences when risk mitigation strategies can be adopted by a rational decision maker. |
| Databáze: | OpenAIRE |
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