Multivariate risk measures in the non-convex setting

IF 1.3 Q2 STATISTICS & PROBABILITY

Statistics & Risk Modeling Pub Date : 2019-02-02 DOI:10.1515/strm-2019-0002

A. Haier, I. Molchanov

引用次数: 2

Abstract

Abstract The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g., in case of fixed transaction costs or when only a finite number of transfers are possible. The paper presents an approach to measure risks of such positions based on the idea of considering all selections of the portfolio and checking if one of them is acceptable. Properties and basic examples of risk measures of non-convex portfolios are presented.

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非凸环境下的多变量风险测量

交易费用模型中的可容许位置族是一个随机闭集，在交易费用成比例的情况下是凸的。然而，在交易成本固定的情况下或只有有限数量的转移是可能的情况下，凸性就失效了。本文提出了一种基于考虑投资组合的所有选择并检查其中一个是否可接受的思想来衡量此类头寸风险的方法。给出了非凸组合风险度量的性质和基本例子。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Statistics & Risk Modeling STATISTICS & PROBABILITY-

CiteScore

1.80

自引率

6.70%

发文量

期刊介绍： Statistics & Risk Modeling (STRM) aims at covering modern methods of statistics and probabilistic modeling, and their applications to risk management in finance, insurance and related areas. The journal also welcomes articles related to nonparametric statistical methods and stochastic processes. Papers on innovative applications of statistical modeling and inference in risk management are also encouraged. Topics Statistical analysis for models in finance and insurance Credit-, market- and operational risk models Models for systemic risk Risk management Nonparametric statistical inference Statistical analysis of stochastic processes Stochastics in finance and insurance Decision making under uncertainty.