The Dynamics of Risk Beyond Convexity

Marco Maggis

Bollettino dell'Unione Matematica Italiana (2013)

  • Volume: 6, Issue: 2, page 441-457
  • ISSN: 0392-4041

Abstract

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We outline the history of Risk Measures from the original formulation given by Artzner Delbaen Eber and Heath until the more recent research on quasiconvex Risk Measures. We therefore present some novel results on quasiconvex Risk Measures in the conditional setting, focusing on two different approaches: the vector space compared to the module approach. In particular the second one will guarantee a complete duality theory which is a key ingredient in the representation of risk preferences.

How to cite

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Maggis, Marco. "The Dynamics of Risk Beyond Convexity." Bollettino dell'Unione Matematica Italiana 6.2 (2013): 441-457. <http://eudml.org/doc/294024>.

@article{Maggis2013,
abstract = {We outline the history of Risk Measures from the original formulation given by Artzner Delbaen Eber and Heath until the more recent research on quasiconvex Risk Measures. We therefore present some novel results on quasiconvex Risk Measures in the conditional setting, focusing on two different approaches: the vector space compared to the module approach. In particular the second one will guarantee a complete duality theory which is a key ingredient in the representation of risk preferences.},
author = {Maggis, Marco},
journal = {Bollettino dell'Unione Matematica Italiana},
language = {eng},
month = {6},
number = {2},
pages = {441-457},
publisher = {Unione Matematica Italiana},
title = {The Dynamics of Risk Beyond Convexity},
url = {http://eudml.org/doc/294024},
volume = {6},
year = {2013},
}

TY - JOUR
AU - Maggis, Marco
TI - The Dynamics of Risk Beyond Convexity
JO - Bollettino dell'Unione Matematica Italiana
DA - 2013/6//
PB - Unione Matematica Italiana
VL - 6
IS - 2
SP - 441
EP - 457
AB - We outline the history of Risk Measures from the original formulation given by Artzner Delbaen Eber and Heath until the more recent research on quasiconvex Risk Measures. We therefore present some novel results on quasiconvex Risk Measures in the conditional setting, focusing on two different approaches: the vector space compared to the module approach. In particular the second one will guarantee a complete duality theory which is a key ingredient in the representation of risk preferences.
LA - eng
UR - http://eudml.org/doc/294024
ER -

References

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