Coherent risk measures in general economic models and price bubbles (Q386059)

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scientific article; zbMATH DE number 6238159
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English
Coherent risk measures in general economic models and price bubbles
scientific article; zbMATH DE number 6238159

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    Coherent risk measures in general economic models and price bubbles (English)
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    13 December 2013
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    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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    risk measures
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    coherent risk measures
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    bubbles
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    ordered spaces
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