IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789814417358_0030.html
   My bibliography  Save this book chapter

Convex risk measures: Basic facts, law-invariance and beyond, asymptotics for large portfolios

In: HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II

Author

Listed:
  • Hans Föllmer
  • Thomas Knispel

Abstract

This paper provides an introduction to the theory of capital requirements defined by convex risk measures. The emphasis is on robust representations, law-invariant convex risk measures and their robustification in the face of model uncertainty, asymptotics for large portfolios, and on the connections of convex risk measures to actuarial premium principles and robust preferences.

Suggested Citation

  • Hans Föllmer & Thomas Knispel, 2013. "Convex risk measures: Basic facts, law-invariance and beyond, asymptotics for large portfolios," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II, chapter 30, pages 507-554, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814417358_0030
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789814417358_0030
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789814417358_0030
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pitera, Marcin & Schmidt, Thorsten, 2018. "Unbiased estimation of risk," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 133-145.
    2. Marcin Pitera & Thorsten Schmidt, 2016. "Unbiased estimation of risk," Papers 1603.02615, arXiv.org, revised Aug 2017.
    3. Martin Herdegen & Nazem Khan, 2022. "Mean‐ρ$\rho$ portfolio selection and ρ$\rho$‐arbitrage for coherent risk measures," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 226-272, January.
    4. Hans Buehler & Phillip Murray & Mikko S. Pakkanen & Ben Wood, 2021. "Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics," Papers 2103.11948, arXiv.org, revised Jul 2021.
    5. Brandtner, Mario & Kürsten, Wolfgang & Rischau, Robert, 2018. "Entropic risk measures and their comparative statics in portfolio selection: Coherence vs. convexity," European Journal of Operational Research, Elsevier, vol. 264(2), pages 707-716.
    6. Marcelo Brutti Righi, 2018. "A theory for combinations of risk measures," Papers 1807.01977, arXiv.org, revised May 2023.
    7. Föllmer Hans, 2014. "Spatial risk measures and their local specification: The locally law-invariant case," Statistics & Risk Modeling, De Gruyter, vol. 31(1), pages 1-23, March.
    8. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2022. "A risk measurement approach from risk-averse stochastic optimization of score functions," Papers 2208.14809, arXiv.org, revised May 2023.
    9. Hans Rau-Bredow, 2019. "Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures," Risks, MDPI, vol. 7(3), pages 1-18, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789814417358_0030. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.