Publication: Measuring risk with multiple eligible assets
Measuring risk with multiple eligible assets
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Farkas, W., Koch-Medina, P., & Munari, C. (2015). Measuring risk with multiple eligible assets. Mathematics and Financial Economics, 9(1), 3–27. https://doi.org/10.1007/s11579-014-0118-0
Abstract
Abstract
Abstract
The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and continuity properties of these risk measures with respect to multiple eligible assets. Our finiteness and continuity results highlight the interplay between the acceptance set and the class of eligible portfolios. We present a simple, alternative approach to the dual representation of convex risk meas
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- Munari, Cosimo
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Farkas, W., Koch-Medina, P., & Munari, C. (2015). Measuring risk with multiple eligible assets. Mathematics and Financial Economics, 9(1), 3–27. https://doi.org/10.1007/s11579-014-0118-0
