Relevant coherent measures of risk |
| |
Authors: | George Stoica |
| |
Affiliation: | Department of Mathematical Sciences, University of New Brunswick, PO Box 5050, Saint John, NB E2L 4L5, Canada |
| |
Abstract: | We introduce and study the f0-relevance property of a coherent measure of risk on a positions vector space with vector ordering. We show that it is equivalent to a special no arbitrage condition on bounded positions spaces. Continuity from below leads to representations of f0-relevant coherent measures of risk based on equivalent functionals in Banach subspaces of the order dual. We define and describe f0-martingales in a lattice, and present a solution to the hedging price problem: the asset price process is an order convergent f0-martingale. Under the f0-relevance hypothesis we study the relationship between worst conditional mean and value at risk. |
| |
Keywords: | G10 |
本文献已被 ScienceDirect 等数据库收录! |
|