Coherent risk measures in general economic models and price bubbles
type: Item
instance of: scholarly article
title: Coherent risk measures in general economic models and price bubbles
zbMATH Open document ID: 1287.91093
published in: Journal of Mathematical Economics
publication date: 2013-12-13T00:00:00Z
review text: 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.
reviewed by: Pavel Stoynov
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 46B40
zbMATH DE Number: 6238159
zbMATH Keywords: risk measures
zbMATH Keywords: coherent risk measures
zbMATH Keywords: bubbles
zbMATH Keywords: ordered spaces
author: Christos E. Kountzakis
author: Ioannis A. Polyrakis
MaRDI profile type: Publication
full work available at URL: j.jmateco.2013.02.002
OpenAlex ID: W2031993234
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DOI: 10.1016/J.JMATECO.2013.02.002
description: scientific article; zbMATH DE number 6238159