Coherent risk measures in general economic models and price bubbles (Q386059)
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English | Coherent risk measures in general economic models and price bubbles |
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Coherent risk measures in general economic models and price bubbles (English)
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13 December 2013
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The authors study coherent risk measures in general economic models defined in a Banach space \(E\) ordered by a nontrivial cone \(P\) and order unit \(x_0\in P\) which is considered as a safe asset. A maximum attainment representation theorem is proved. The behavior of a risk measure under different safe assets is checked. The authors also consider so-called unsure subspaces of \(E\)-subspaces with positions of risk greater than or equal to zero. Some criteria and examples of such subspaces are given and also they are related to the theory of price-bubbles.
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risk measures
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coherent risk measures
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bubbles
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ordered spaces
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