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Coherent and convex monetary risk measures for unbounded càdlàg processes

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  • Patrick Cheridito

    ()

  • Freddy Delbaen

    ()

  • Michael Kupper

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00780-006-0017-1
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    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 10 (2006)
    Issue (Month): 3 (September)
    Pages: 427-448

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    Handle: RePEc:spr:finsto:v:10:y:2006:i:3:p:427-448
    Contact details of provider: Web page: http://www.springerlink.com/content/101164/

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    Keywords: Coherent risk measures; Convex monetary risk measures; Coherent utility functionals; Concave monetary utility functionals; Unbounded càdlàg processes; Extension of risk measures; 91B30; 91B16; 60G07; 52A07; 46A55; 46A20; D81; C60; G18;

    Find related papers by JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

    References listed on IDEAS
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    1. Epstein, Larry G. & Schneider, Martin, 2003. "Recursive multiple-priors," Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November.
    2. Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
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    Cited by:

    1. Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2014. "On time consistency of dynamic risk and performance measures in discrete time," Papers 1409.7028, arXiv.org.
    2. repec:hal:wpaper:hal-00870224 is not listed on IDEAS
    3. Ola Mahmoud, 2015. "The Two Dimensions of Drawdown: Magnitude and Duration," Papers 1501.01573, arXiv.org.
    4. Jocelyne Bion-Nadal, 2007. "Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk," Papers math/0703074, arXiv.org.
    5. Loisel, Stéphane & Trufin, Julien, 2014. "Properties of a risk measure derived from the expected area in red," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 191-199.
    6. Stéphane Loisel & Julien Trufin, 2014. "Properties of a risk measure derived from the expected area in red," Post-Print hal-00870224, HAL.
    7. Patrick Cheridito & Tianhui Li, 2009. "Risk Measures On Orlicz Hearts," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 189-214.
    8. Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany.

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