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Coherent Risk Measures Derived from Utility Functions

机译:效用函数得出的连贯风险度量

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摘要

Coherent risk measures in financial management are discussed from the view point of average value-at-risks with risk spectra. A minimization problem of the distance between risk estimations through decision maker's utility and coherent risk measures with risk spectra is introduced. The risk spectrum of the optimal coherent risk measures in this problem is obtained and it inherits the risk averse property of utility functions. Various properties of coherent risk measures and risk spectrum are demonstrated. Several numerical examples are given to illustrate the results.
机译:从平均风险价值与风险谱的角度讨论了财务管理中的连贯风险度量。介绍了通过决策者的效用和具有风险谱的连贯风险度量之间的风险估计之间的距离最小化的问题。获得了该问题中最优相干风险测度的风险谱,并继承了效用函数的风险规避特性。证明了连贯的风险度量和风险范围的各种特性。给出了几个数值示例来说明结果。

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