Quasi-Logconvex Measures of Risk

Roger Laeven and Emanuela Rosazza Gianin

Papers from arXiv.org

Abstract: This paper introduces and fully characterizes the novel class of quasi-logconvex measures of risk, to stand on equal footing with the rich class of quasi-convex measures of risk. Quasi-logconvex risk measures naturally generalize logconvex return risk measures, just like quasi-convex risk measures generalize convex monetary risk measures. We establish their dual representation and analyze their taxonomy in a few (sub)classification results. Furthermore, we characterize quasi-logconvex risk measures in terms of properties of families of acceptance sets and provide their law-invariant representation. Examples and applications to portfolio choice and capital allocation are also discussed.

Date: 2022-07
New Economics Papers: this item is included in nep-ifn and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2208.07694

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