Convex risk measures: Basic facts, law-invariance and beyond, asymptotics for large portfolios

Hans Föllmer and Thomas Knispel

Chapter 30 in Handbook of the Fundamentals of Financial Decision Making:In 2 Parts, 2013, pp 507-554 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This paper provides an introduction to the theory of capital requirements defined by convex risk measures. The emphasis is on robust representations, law-invariant convex risk measures and their robustification in the face of model uncertainty, asymptotics for large portfolios, and on the connections of convex risk measures to actuarial premium principles and robust preferences.

Keywords: Financial Decision Making; Asset Pricing; Prospect Theory; Utility Theory; Risk Aversion; Static Portfolio Theory; Stochastic Dominance; Dynamic Modeling; Dynamic Portfolio Theory; Tactical Asset Allocation; Kelly Strategy; Capital Growth (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (9)

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