Measuring single-period risk

Georg Ch PfIug and Werner Römisch
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Georg Ch PfIug: University of Vienna, Austria
Werner Römisch: Humboldt-University Berlin, Germany

Chapter 2 in Modeling, Measuring and Managing Risk, 2007, pp 27-114 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe 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

Keywords: Risk Management; Risk Measures; Stochastic Optimization; Stochastic Models; Decision Making under Uncertainty (search for similar items in EconPapers)
Date: 2007
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