Towards a Topological Representation of Risks and Their Measures

Tomer Shushi
Additional contact information
Tomer Shushi: Department of Business Administration, Guilford Glazer Faculty of Business and Management, Ben-Gurion University of the Negev, P.O.B. 653, Beer-Sheva 8410501, Israel

Risks, 2018, vol. 6, issue 4, 1-11

Abstract: In risk theory, risks are often modeled by risk measures which allow quantifying the risks and estimating their possible outcomes. Risk measures rely on measure theory, where the risks are assumed to be random variables with some distribution function. In this work, we derive a novel topological-based representation of risks. Using this representation, we show the differences between diversifiable and non-diversifiable. We show that topological risks should be modeled using two quantities, the risk measure that quantifies the predicted amount of risk, and a distance metric which quantifies the uncertainty of the risk.

Keywords: diversification; portfolio theory; risk measurement; risk measures; set-valued measures; topology; topological spaces (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-9091/6/4/134/pdf (application/pdf)
https://www.mdpi.com/2227-9091/6/4/134/ (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:jrisks:v:6:y:2018:i:4:p:134-:d:183882

Access Statistics for this article

Risks is currently edited by Mr. Claude Zhang

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