A representation of risk measures |
| |
Authors: | Massimiliano Amarante |
| |
Affiliation: | 1.Université de Montréal et CIREQ,Montreal,Canada |
| |
Abstract: | We provide a representation theorem for risk measures satisfying (1) monotonicity, (2) positive homogeneity and (3) translation invariance. As a simple corollary to our theorem, we obtain the usual representation of coherent risk measures (i.e., risk measures that are, in addition, sub-additive; see Artzner et al. in Math Finance 9:203–228, 1999). |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|