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Star-Shaped Risk Measures

In this paper, monetary risk measures that are positively superhomogeneous, called star-shaped risk measures, are characterized and their properties are studied. The measures in this class, which arise when the subadditivity property of coherent risk measures is dispensed with and positive homogeneity is weakened, include all practically used risk measures, in particular, both convex risk measures and value-at-risk. From a financial viewpoint, our relaxation of convexity is necessary to quantify the capital requirements for risk exposure in the presence of liquidity risk, competitive delegation, or robust aggregation mechanisms. From a decision theoretical perspective, star-shaped risk measures emerge from variational preferences when risk mitigation strategies can be adopted by a rational decision maker.

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Informasi Detail

Judul Seri

OPERATIONS RESEARCH; Vol.70 No.5 September-October 2022

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 2637-2654

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

CONVEXITY
COMPETITIVE PRICING
LIQUIDITY RISK
CAPITAL CHARGE
MONOTONICITY ALONG RAYS

Info Detail Spesifik

https://doi.org/10.1287/opre.2022.2303

Pernyataan Tanggungjawab

Erio Castagnoli, Giacomo Cattelan, Fabio Maccheroni, Claudio Tebaldi, Ruodu Wang

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