4.5 Article

Contextual Areas Star-Shaped Risk Measures

Related references

Note: Only part of the references are listed.
Article Economics

Ambiguity aversion and wealth effects

Simone Cerreia-Vioglio et al.

Summary: This study examines the impact of wealth changes on attitudes towards ambiguity. The researchers define a decision maker as decreasing or increasing absolute ambiguity averse based on whether they become less or more averse to ambiguity as they become wealthier. The study provides different characterizations of these attitudes for a wide range of preferences, and offers alternative methods to experimentally test the validity of uncertainty choice models.

JOURNAL OF ECONOMIC THEORY (2022)

Article Economics

Dual-Self Representations of Ambiguity Preferences

Madhav Chandrasekher et al.

Summary: We propose a model of multiple-prior representations of preferences, where decision-makers evaluate uncertain prospects based on beliefs that are the outcome of a game between Pessimism and Optimism. The model allows for different degrees of ambiguity aversion and can capture the co-existence of negative and positive ambiguity attitudes within individuals. The baseline representation, dual-self expected utility, provides a new representation of the class of invariant biseparable preferences, while extensions of this representation allow for more general departures from independence. We also provide foundations for a generalization of prior-by-prior belief updating to our model.

ECONOMETRICA (2022)

Article Management

An Axiomatic Foundation for the Expected Shortfall

Ruodu Wang et al.

Summary: This paper introduces four intuitive economic axioms that uniquely characterize the family of Expected Shortfall (ES), providing the first economic foundation for using ES as a globally dominant regulatory risk measure. ES rewards portfolio diversification and penalizes risk concentration in a special and intuitive way, distinguishing it from other risk measures.

MANAGEMENT SCIENCE (2021)

Article Business, Finance

Scenario-based risk evaluation

Ruodu Wang et al.

Summary: The article discusses the theoretical properties of scenario-based risk measures, establishes axiomatic characteristics, proposes several novel risk measurement methods, and illustrates them with financial data examples.

FINANCE AND STOCHASTICS (2021)

Article Business, Finance

Existence, uniqueness, and stability of optimal payoffs of eligible assets

Michel Baes et al.

MATHEMATICAL FINANCE (2020)

Article Economics

Is the inf-convolution of law-invariant preferences law-invariant?

Peng Liu et al.

INSURANCE MATHEMATICS & ECONOMICS (2020)

Article Business, Finance

Risk Measures Based on Benchmark Loss Distributions

Valeria Bignozzi et al.

JOURNAL OF RISK AND INSURANCE (2020)

Article Business, Finance

Risk Aversion in Regulatory Capital Principles

Tiantian Mao et al.

SIAM JOURNAL ON FINANCIAL MATHEMATICS (2020)

Article Economics

Preferences with changing ambiguity aversion

Jingyi Xue

ECONOMIC THEORY (2020)

Article Management

Quantile-Based Risk Sharing

Paul Embrechts et al.

OPERATIONS RESEARCH (2018)

Article Management

Between First- and Second-Order Stochastic Dominance

Alfred Mueller et al.

MANAGEMENT SCIENCE (2017)

Article Management

Hidden Illiquidity with Multiple Central Counterparties

Paul Glasserman et al.

OPERATIONS RESEARCH (2016)

Article Business, Finance

Dynamic Conic Finance via Backward Stochastic Difference Equations

Tomasz R. Bielecki et al.

SIAM JOURNAL ON FINANCIAL MATHEMATICS (2015)

Article Business, Finance

Beyond cash-additive risk measures: when changing the numeraire fails

Walter Farkas et al.

FINANCE AND STOCHASTICS (2014)

Article Operations Research & Management Science

Risk Preferences and Their Robust Representation

Samuel Drapeau et al.

MATHEMATICS OF OPERATIONS RESEARCH (2013)

Article Economics

RISK MEASURES AND EFFICIENT USE OF CAPITAL

Philippe Artzner et al.

ASTIN BULLETIN (2009)

Article Mathematics

Separation and duality in locally L0-convex modules

Damir Filipovic et al.

JOURNAL OF FUNCTIONAL ANALYSIS (2009)

Article Economics

Exact capacities and star-shaped distorted probabilities

Zaier Aouani et al.

MATHEMATICAL SOCIAL SCIENCES (2008)

Article Business, Finance

Inf-convolution of risk measures and optimal risk transfer

P Barrieu et al.

FINANCE AND STOCHASTICS (2005)

Article Economics

Differentiating ambiguity and ambiguity attitude

P Ghirardato et al.

JOURNAL OF ECONOMIC THEORY (2004)

Article Operations Research & Management Science

Is every radiant function the sum of quasiconvex functions?

A Zaffaroni

MATHEMATICAL METHODS OF OPERATIONS RESEARCH (2004)

Article Business, Finance

Convex measures of risk and trading constraints

H Föllmer et al.

FINANCE AND STOCHASTICS (2002)

Article Business, Finance

Putting order in risk measures

M Frittelli et al.

JOURNAL OF BANKING & FINANCE (2002)

Article Economics

Robust control and model uncertainty

LP Hansen et al.

AMERICAN ECONOMIC REVIEW (2001)