Xem 1-4 trên 4 kết quả Convex risk measure
  • In everyday life we are often forced to make decisions involving risks and perceived opportunities. The consequences of our decisions are affected by the outcomes of random variables that are to various degrees beyond our control. Such decision problems arise, for instance, in financial and insurance markets.

    pdf350p namde02 08-03-2013 33 18   Download

  • Throughout this paper, we consider a valuation method for contingent claims taking control of shortfall risk into account in the framework of complete market models. After giving a general form of the valuation, we shall deal with models whose underlying assets are described by diffusion processes, and obtain a result for American type claims

    pdf240p taurus23 25-09-2012 33 8   Download

  • As a matter of sound investment practice, FHLBanks should be able to measure the price sensitivity for individual securities and for the entire portfolio. In general, techniques used to measure the risk of individual securities are also appropriate for the entire portfolio. To estimate portfolio sensitivity, FHLBanks generally use, at a minimum, duration. Because of the presence of options in most portfolios, duration may not be an effective risk measure.

    pdf60p bocapchetnguoi 05-12-2012 26 1   Download

  • We resolve these issues as follows. We show that a nonincreasing returns to scale (nrs) model is usually appropriate when modeling rational choice among investors. We show when multiple risk and return measures can justifiably be combined and identify some suitable measures. We show we need a nonlinear model to justify the assumption of convexity and to model diversification. We develop a method to approximate a solution to this model as accurately as needed using a sequence of linear models. Coherent measures of risk come up again and again in our discussion.

    pdf18p thangbienthai 20-11-2012 18 1   Download

Đồng bộ tài khoản