搜索结果: 1-15 共查到“经济学 Risk Measures”相关记录27条 . 查询时间(0.203 秒)
Optimal starting times, stopping times and risk measures for algorithmic trading
Quantitative Finance High-Frequency Trading Algorithmic Trading Optimal Execution Market Impact Risk Measures
2012/6/4
We derive explicit recursive formulas for Target Close (TC) and Implementation Shortfall (IS) in the Almgren-Chriss framework. We explain how to compute the optimal starting and stopping times for IS ...
From Risk Measures to Research Measures
Bibliometric Indices Citations Risk Measures Scienti c Impact Measures Calibration Duality
2012/6/4
In order to evaluate the quality of the scientific research, we introduce a new family of scientific performance measures, called Scientific Research Measures (SRM). Our proposal originates from the m...
Comparative and qualitative robustness for law-invariant risk measures
Law-invariant risk measure convex risk measure coherent risk measure Orlicz space qualitative robustness comparative robustness
2012/4/28
When estimating the risk of a P&L from historical data or Monte Carlo simulation, the robustness of the estimate is important. We argue here that Hampel's classical notion of qualitative robustness is...
Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type
quasiconvex functions dual representation complete duality L0-modules dynamic risk measures quasiconvex risk measures
2012/3/2
We provide a dual representation of quasiconvex conditional risk measures $% \rho $ defined on $L^{0}$ modules of the $L^{p}$ type. This is a consequence of more general result which extend the usual ...
Set-Valued Dynamic Risk Measures
dynamic risk measures transaction costs set-valued risk measures time consistency dual representation
2012/3/2
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are co...
The Price of Dynamic Inconsistency for Distortion Risk Measures
The Price of Dynamic Inconsistency Distortion Risk Measures potentially inconsistent behavior.
2011/7/4
A proper framework for measuring and mitigating risk in dynamic settings is of utmost importance,
on both a practical, as well as a theoretical level. In recent years, coherent risk measures have eme...
Distortion risk measures for sums of dependent losses
Coherence Dependence structure Distortion function Risk measure Risk theory insurance Wang transform
2011/7/5
We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables,
which preserve the property of coherence. The first, based on distorted expectations, operates ...
Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
Liquidity Risk Random Holding Period Systemic Risk
2010/10/21
Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a `liquidity-adjusted risk measure' characterized by t...
The fractional volatility model: No-arbitrage, leverage and risk measures
Fractional noise Arbitrage Incomplete market Risk measures
2010/10/21
Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Dep...
What risk measures are time consistent for all filtrations?
Risk measure time consistency stability by pasting
2010/10/21
We study coherent risk measures which are time-consistent for multiple filtrations. We show that a coherent risk measure is time-consistent for every filtration if and only if it is one of four main ...
We consider portfolio selection when decisions based on a dynamic risk measure are affected by the use of a moving horizon, and the possible inconsistencies that this creates. By giving a formal treat...
Recent progress in random metric theory and its applications to conditional risk measures
random normed module random inner product module random locally convex module
2010/10/20
The purpose of this paper is to give a selective survey on recent progress in random metric theory and its applications to conditional risk measures.
This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures...
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Optimal consumption investment bounded downside risk measures logarithmic utility functions
2010/10/18
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in t...
A Generalized Fourier Transform Approach to Risk Measures
Generalized Fourier Transform Risk Measures
2010/11/2
We introduce the formalism of generalized Fourier transforms in the context of risk management.
We develop a general framework to efficiently compute the most popular risk measures, Valueat-
Risk an...