Non-Cash Risk Measure on Nonconvex Sets

Chang Cong and Peibiao Zhao
Additional contact information
Chang Cong: School of Science, Nanjing University of Science and Technology, Nanjing 210094, China
Peibiao Zhao: School of Science, Nanjing University of Science and Technology, Nanjing 210094, China

Mathematics, 2018, vol. 6, issue 10, 1-9

Abstract: Monetary risk measures defined on a convex set are interpreted as the smallest amount of external cash that must be added to a portfolio to make the portfolio being acceptable. In the present paper, the authors introduce a new concept: non-cash risk measure, which does as a nonconvex risk measure work in a nonconvex set. In addition, the authors arrive at a convex extension of the non-cash risk measure, and offer the relationship between the non-cash risk measure and its extension.

Keywords: risk measures; non-cash measure; nonconvex sets; nonconvex measures (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.mdpi.com/2227-7390/6/10/186/pdf (application/pdf)
https://www.mdpi.com/2227-7390/6/10/186/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jmathe:v:6:y:2018:i:10:p:186-:d:173306

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().