投资组合向量的律不变凸风险测度

IF 1.3 Q2 STATISTICS & PROBABILITY

Statistics & Risk Modeling Pub Date : 2006-07-01 DOI:10.1524/stnd.2006.24.1.97

L. Rüschendorf

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引用次数: 2

摘要

对投资组合向量的所有不变凸风险度量进行了刻画。该类的构建块由最大相关风险度量组成。我们进一步介绍了几类多变量失真风险度量，并将它们与多变量分位数函数和风险度量平均值的扩展联系起来。

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Law invariant convex risk measures for portfolio vectors

SUMMARY The class of all lawinvariant, convex risk measures for portfolio vectors is characterized. The building blocks of this class are shown to be formed by the maximal correlation risk measures. We further introduce some classes of multivariate distortion risk measures and relate them to multivariate quantile functionals and to an extension of the average value at risk measure.

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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.