On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
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DOI: 10.1007/s00780-017-0339-1
Abstract: In this paper, we propose the notion of continuous-time dynamic spectral risk measure (DSR). Adopting a Poisson random measure setting, we define this class of dynamic coherent risk measures in terms of certain backward stochastic… read more here.
Keywords: risk; time; dynamic spectral; limit theorem ... See more keywords
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
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DOI: 10.1007/s00780-018-0377-3
Abstract: Using elements from the theory of ergodic backward stochastic differential equations (BSDEs), we study the behavior of forward entropic risk measures in stochastic factor models. We derive general representation results (via both BSDEs and convex… read more here.
Keywords: entropic risk; risk; forward entropic; ergodic bsde ... See more keywords
On fairness of systemic risk measures
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DOI: 10.1007/s00780-020-00417-4
Abstract: In our previous paper “A unified approach to systemic risk measures via acceptance sets” ( Mathematical Finance, 2018 ), we have introduced a general class of systemic risk measures that allow random allocations to individual… read more here.
Keywords: risk; systemic risk; finance; risk measures ... See more keywords
Multi-utility representations of incomplete preferences induced by set-valued risk measures
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DOI: 10.1007/s00780-020-00440-5
Abstract: We establish a variety of numerical representations of preference relations induced by set-valued risk measures. Because of the general incompleteness of such preferences, we have to deal with multi-utility representations. We look for representations that… read more here.
Keywords: induced set; risk; valued risk; set valued ... See more keywords
Polyhedral Coherent Risk Measures and Robust Optimization
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DOI: 10.1007/s10559-019-00210-y
Abstract: Properties of the apparatus of polyhedral coherent risk measures, its relationship with problems of robust and distributionally robust optimization, as well as its application under uncertainty are described. Problems of calculating robust structures of polyhedral… read more here.
Keywords: risk measures; polyhedral coherent; coherent risk; robust optimization ... See more keywords
Multiple shooting applied to robust reservoir control optimization including output constraints on coherent risk measures
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DOI: 10.1007/s10596-017-9625-4
Abstract: The production life of oil reservoirs starts under significant uncertainty regarding the actual economical return of the recovery process due to the lack of oil field data. Consequently, investors and operators make management decisions based… read more here.
Keywords: risk; multiple shooting; reservoir; coherent risk ... See more keywords
Risk: An R Package for Financial Risk Measures
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DOI: 10.1007/s10614-018-9806-9
Abstract: A new R contributed package written by the authors is introduced. The package is believed to be the most comprehensive one to date for financial risk measures. It computes twenty six financial risk measures for… read more here.
Keywords: package financial; financial risk; risk package; risk ... See more keywords
Coherent and convex loss-based risk measures for portfolio vectors
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DOI: 10.1007/s11117-017-0517-6
Abstract: In this paper, we introduce two new classes of risk measures, named coherent and convex loss-based risk measures for portfolio vectors. These new risk measures can be considered as a multivariate extension of univariate loss-based… read more here.
Keywords: loss based; risk; based risk; risk measures ... See more keywords
How effective is the tail mean-variance model in the fund of fund selection? An empirical study using various risk measures
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DOI: 10.1016/j.frl.2018.08.012
Abstract: Abstract In this paper, we study the tail mean-variance (TMV) model, which incorporates variation and tail risks and allocates the capital corresponding to the asset’s risk, by using several risk measures including the Value-at-Risk (VaR)… read more here.
Keywords: tail mean; mean variance; risk; risk measures ... See more keywords
Forecasting risk measures using intraday data in a generalized autoregressive score framework
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DOI: 10.1016/j.ijforecast.2019.10.007
Abstract: Abstract A new framework for the joint estimation and forecasting of dynamic value at risk (VaR) and expected shortfall (ES) is proposed by our incorporating intraday information into a generalized autoregressive score (GAS) model introduced… read more here.
Keywords: generalized autoregressive; autoregressive score; risk measures; risk ... See more keywords
Upper bounds for strictly concave distortion risk measures on moment spaces
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DOI: 10.1016/j.insmatheco.2018.07.002
Abstract: The study of worst-case scenarios for risk measures (e.g., Value-at-Risk) when the underlying risk (or portfolio of risks) is not completely specified is a central topic in the literature on robust risk measurement. In this… read more here.
Keywords: moment; risk; upper bounds; bounds strictly ... See more keywords