On s-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model
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 s-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 (, , ).
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Bibliographic InfoPaper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2007-010.
Length: 29 pages
Date of creation: Mar 2007
Date of revision:
Convex risk measures; model uncertainty; s-additive robust representation; Fatou property; nonsequential Fatou property; strong s-additive robust representation; Krein-Smulian theorem; Greco theorem; inner Daniell stone theorem; general Dini theorem; Simons’ lemma.;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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