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On s-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model


  • Volker Krätschmer


Recently, Frittelli and Scandolo ([9]) extend the notion of risk measures, originally introduced by Artzner, Delbaen, Eber and Heath ([1]), 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 ([4], [7], [16]).

Suggested Citation

  • Volker Krätschmer, 2007. "On s-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model," SFB 649 Discussion Papers SFB649DP2007-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  • Handle: RePEc:hum:wpaper:sfb649dp2007-010

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    References listed on IDEAS

    1. Marco Frittelli & Giacomo Scandolo, 2006. "Risk Measures And Capital Requirements For Processes," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 589-612.
    2. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Convex Risk Functions," Risk and Insurance 0404001, EconWPA, revised 08 Oct 2005.
    3. Volker Krätschmer, 2006. "Compactness in Spaces of Inner Regular Measures and a General Portmanteau Lemma," SFB 649 Discussion Papers SFB649DP2006-081, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    4. Riedel, Frank, 2004. "Dynamic coherent risk measures," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 185-200, August.
    5. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    6. Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
    7. repec:dau:papers:123456789/342 is not listed on IDEAS
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    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.;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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