Coherent risk measures in general economic models and price bubbles

DOI10.1016/J.JMATECO.2013.02.002MaRDI QIDQ386059zbMATH OpenOpenAlexFDO

Authors Christos E. Kountzakis, Ioannis A. Polyrakis

Publication date 13 December 2013

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2013.02.002

zbMATH Keywords

bubblescoherent risk measuresordered spacesrisk measures

Mathematics Subject Classification ID

Ordered normed spaces (46B40) Financial applications of other theories (91G80)

Review text

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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Cites work

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• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
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Cited in

(7)

• Optimality conditions and bubbles in sequential economies and bounded relative risk-aversion
• Risk measures in ordered normed linear spaces with non-empty cone-interior
• Generalized coherent risk measures
• On the Robustness of Bubbles in Linear RE Models
• On the validity of use of physical equations and principles in the socio-economic field and on the predictability of socio-economic system dynamics
• Decision-making under risk: when is utility-maximization equivalent to risk-minimization?
• Risk measures on ordered non-reflexive Banach spaces

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