|
|||||
|
|
Spectral Risk Measures: Properties and Limitations |
|||
| Authors: | Kevin Dowd John Cotter Ghulam Sorwar | ||
| Affiliation: | (1) Centre for Risk and Insurance Studies, Nottingham University Business School, Jubilee Campus, Nottingham, NG8 1BB, UK;(2) Anderson School of Management, UCLA, 110 Westwood Plaza B504, Los Angeles, CA 90095, USA;(3) Centre for Financial Markets, School of Business, University College Dublin, Carysfort Avenue, Blackrock, Co. Dublin, Ireland;(4) Nottingham University Business School, Jubilee Campus, Nottingham, NG8 1BB, UK | ||
| Abstract: | Spectral risk measures (SRMs) are risk measures that take account of user risk-aversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative approaches based on exponential and power utility functions. A number of problems are identified with both types of spectral risk measure. The general lesson is that users of spectral risk measures must be careful to select utility functions that fit the features of the particular problems they are dealing with, and should be especially careful when using power SRMs.
|
||
| Keywords: | Coherent risk measures Spectral risk measures Exponential utility Power utility | ||
| 本文献已被 SpringerLink 等数据库收录！ | |||
