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The authors characterise risk measures that have convex level sets at the level of distributions (CxLS) which means that \[ \rho(F)=\rho(G)=\gamma\quad \Rightarrow\quad \rho(\lambda F+(1-\lambda)G) = \gamma, \qquad \gamma\in(0,1), \] where \(F\) and \(G\) are probability distributions and \(\rho\) is a risk measure. The financial interpretation of this property is that any mixture of two equally risky positions remains with the same risk. The authors show that this risk measures can be identified with a class of generalized shortfall risk measures and based on this result confirm that expectiles are the only elicitable coherent risk measures. They also provide characterization of robustness for convex risk measures in terms of a week notion of mixture continuity. | |||
Property / review text: The authors characterise risk measures that have convex level sets at the level of distributions (CxLS) which means that \[ \rho(F)=\rho(G)=\gamma\quad \Rightarrow\quad \rho(\lambda F+(1-\lambda)G) = \gamma, \qquad \gamma\in(0,1), \] where \(F\) and \(G\) are probability distributions and \(\rho\) is a risk measure. The financial interpretation of this property is that any mixture of two equally risky positions remains with the same risk. The authors show that this risk measures can be identified with a class of generalized shortfall risk measures and based on this result confirm that expectiles are the only elicitable coherent risk measures. They also provide characterization of robustness for convex risk measures in terms of a week notion of mixture continuity. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Pavel Stoynov / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91G70 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60C05 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62G35 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B16 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6583720 / rank | |||
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Property / zbMATH Keywords | |||
decision theory | |||
Property / zbMATH Keywords: decision theory / rank | |||
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Property / zbMATH Keywords | |||
elicitability | |||
Property / zbMATH Keywords: elicitability / rank | |||
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Property / zbMATH Keywords | |||
convex level sets | |||
Property / zbMATH Keywords: convex level sets / rank | |||
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Property / zbMATH Keywords | |||
mixture continuity | |||
Property / zbMATH Keywords: mixture continuity / rank | |||
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robustness | |||
Property / zbMATH Keywords: robustness / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W2337403985 / rank | |||
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Property / arXiv ID | |||
Property / arXiv ID: 1411.0426 / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 01:34, 12 July 2024
scientific article
Language | Label | Description | Also known as |
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English | Risk measures with the CxLS property |
scientific article |
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Risk measures with the CxLS property (English)
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23 May 2016
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The authors characterise risk measures that have convex level sets at the level of distributions (CxLS) which means that \[ \rho(F)=\rho(G)=\gamma\quad \Rightarrow\quad \rho(\lambda F+(1-\lambda)G) = \gamma, \qquad \gamma\in(0,1), \] where \(F\) and \(G\) are probability distributions and \(\rho\) is a risk measure. The financial interpretation of this property is that any mixture of two equally risky positions remains with the same risk. The authors show that this risk measures can be identified with a class of generalized shortfall risk measures and based on this result confirm that expectiles are the only elicitable coherent risk measures. They also provide characterization of robustness for convex risk measures in terms of a week notion of mixture continuity.
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decision theory
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elicitability
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convex level sets
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mixture continuity
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robustness
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