Trade-off between robust risk measurement and market principles
type: Item
instance of: scholarly article
title: Trade-off between robust risk measurement and market principles
zbMATH Open document ID: 1403.91145
author: Hirbod Assa
published in: Journal of Optimization Theory and Applications
publication date: 2015-09-03T00:00:00Z
review text: This paper considers a hedging problem of a representative agent who wishes to determine an optimal hedge for a risky position by minimizing a risk measure subject to a price constraint. Firstly, the author shows that if a good deal exists, the hedging problem has no solution. This result is presented in Proposition 4.1. They also show that if a robust risk measure is used, then a pair of risk measure and pricing kernel generates good deals in a perfect market. This result is presented in Theorem 4.1. Then the authors introduce a minimal distribution-invariant modification of the risk measure with a view to overcoming the existence of a good deal in a perfect market. The form of the minimal distribution-invariant modification of the risk measure is given in Theorem 5.1. The robustness of the minimal distribution-invariant modification of the risk measure is then studied in Section 6.
reviewed by: Tak Kuen Siu
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6478098
zbMATH Keywords: risk measures
zbMATH Keywords: pricing rules
zbMATH Keywords: good deals
zbMATH Keywords: robustness
zbMATH Keywords: representative agent hedging problem
zbMATH Keywords: minimal modification
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: s10957-014-0593-8
OpenAlex ID: W3125214776
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DOI: 10.1007/S10957-014-0593-8
description: scientific article; zbMATH DE number 6478098