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 一致性风险测度
 coherent risk measures
 In this paper, we study the coherent risk measures. 一致性风险测度框架作为一种研究风险测度的手段正受到越来越多的关注。 短句来源
 coherent risk measure
 Dissertation investigated the problems of optimal liquidation strategy and Liquidity–Adjusted Expected Shortfall (La-ES) belonging to the coherent risk measure. 本文研究了一致性风险测度-流动性调整期望损失(Liquidity-Adjusted Expected Shortfall:La-ES)和机构投资者的最优变现策略问题。 短句来源

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 coherent risk measures
 Despite the incompleteness of the market we quantify the value of this operational flexibility in the framework of coherent risk measures. Exact cooperative games or non-additive measures, coherent lower previsions and coherent risk measures are mathematically essentially the same. The relation between coherent risk measures, valuation bounds, and certain classes of portfolio optimization problems is established. One of the key results is that coherent risk measures are essentially equivalent to generalized arbitrage bounds, named "good deal bounds" by Cerny and Hodges (1999). We define (d,n)-coherent risk measures as set-valued maps from $L^\infty_d$ into $\mathbb{R}^n$ satisfying some axioms. 更多
 coherent risk measure
 We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et al. As examples we discuss a new approach to measure the risk of an insurance company and a coherent risk measure for unbounded càdlàg processes induced by a so called m-stable set. As examples we discuss a new approach to measure the risk of an insurance company and a coherent risk measure for unbounded càdlàg processes induced by a so called m-stable set. The paper deals with the study of a coherent risk measure, which we call Weighted V@R. Starting with a time-0 coherent risk measure defined for "value processes", we also define risk measurement processes. 更多
其他
 This paper indicates that the translation axiom,which is one of the coherent measures of risk axiom,is not reasonable.Therefore,the translation axiom should be deleted.On the basis of revision,the risk measure of Fishburn is found being a scientific risk measure. 由于一致性风险测度公理中的平移不变性公理存在不合理性,故可将该该公理从一致性风险测度公理中去掉.将半范数的概念加以扩展,增加单调性要求,则去掉平移不变性公理之后一致性风险测度公理与半范数的要求就完全相同,这样风险度量从本质上讲就是定义在某空间上的半范数.本文发现F ishburn的风险测度是满足正齐次性、次可加性、单调性要求的.从这个意义讲,F ishburn的风险测度是一个比较科学的风险度量方法.
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