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2007-03-01Buch DOI: 10.18452/4029
On σ−additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model
dc.contributor.authorKrätschmer, Volker
dc.date.accessioned2017-06-15T23:22:40Z
dc.date.available2017-06-15T23:22:40Z
dc.date.created2007-03-08
dc.date.issued2007-03-01
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4681
dc.description.abstractRecently, Frittelli and Scandolo extend the notion of risk measures, originally introduced by Artzner, Delbaen, Eber and Heath, to the risk assessment of abstract financial positions, including pay offs spread over different dates, where liquid derivatives are admitted to serve as financial instruments. The paper deals with σ−additive robust representations of convex risk measures in the extended sense, dropping the assumption of an existing market model, and allowing also unbounded financial positions. The results may be applied for the case that a market model is available, and they encompass as well as improve criteria obtained for robust representations of the original convex risk measures for bounded positions.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectmodel uncertaintyeng
dc.subjectConvex risk measureseng
dc.subjectσ−additive robust representationeng
dc.subjectFatou propertyeng
dc.subjectnonsequential Fatou propertyeng
dc.subjectstrong σ−additive robust representationeng
dc.subjectKrein-Smulian theoremeng
dc.subjectGreco theoremeng
dc.subjectinner Daniell stone theoremeng
dc.subjectgeneral Dini theoremeng
dc.subjectSimons´ lemmaeng
dc.subject.ddc330 Wirtschaft
dc.titleOn σ−additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10075674
dc.identifier.doihttp://dx.doi.org/10.18452/4029
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages29
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2007
local.edoc.container-issue10
local.edoc.container-year2007
local.edoc.container-erstkatid2195055-6

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