IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789812708724_0002.html
   My bibliography  Save this book chapter

Measuring single-period risk

In: Modeling, Measuring And Managing Risk

Author

Listed:
  • Georg Ch PfIug

    (University of Vienna, Austria)

  • Werner Römisch

    (Humboldt-University Berlin, Germany)

Abstract

The following sections are included:Probability functionals and their propertiesProperties of probability functionalsVersion-independent properties of probability functionalsAcceptability functionals and deviation risk functionalsAcceptance sets for translation-equivariant functionalsDual representations of concave and convex functionalsThe average value-at-riskKusuoka representationsConditional acceptability and risk mappingsVersion independent conditional acceptability mappingsMore about the conditional average value-at-riskClasses of version-independent acceptability-type functionalsExpected utilityDistortion functionalsSup-convolutionsSingle-period polyhedral acceptability functionalsRisk-corrected expectation and mean-risk modelsClasses of version-independent deviation-type functionalsDeviation functionals of the form 𝔼[h(Y – 𝔼Y)]Deviation functionals of the form ‖Y – 𝔼Y ‖hDeviation functionals of the form ‖ [Y – 𝔼Y ]−‖hDeviation functionals of the form 𝔼[h(Y – Y')]Minimal loss risk functionalsSummary

Suggested Citation

  • Georg Ch PfIug & Werner Römisch, 2007. "Measuring single-period risk," World Scientific Book Chapters, in: Modeling, Measuring And Managing Risk, chapter 2, pages 27-114, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812708724_0002
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789812708724_0002
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789812708724_0002
    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.

    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:9789812708724_0002. 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.