Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/201634 
Autor:innen: 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
Center for Mathematical Economics Working Papers No. 609
Verlag: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Zusammenfassung: 
This paper introduces a (coherent) risk measure that describes the uncertainty of the model (represented by a probability measure P₀) by a set Pᵧ of probability measures each of which has a Radon-Nikodym's derivative (with respect to P₀) that lies within the interval [λ; 1/λ] for some constant λ ϵ (0,1]. Economic considerations are discussed and an explicit representation is obtained that gives a connection to both the expected loss of the financial position and its average value-at-risk. Optimal portfolio analysis is performed - different optimization criteria lead to Merton portfolio. Comparison with related problems reveals examples of extreme sensitivity of optimal portfolios to model parameters and the choice of risk measure.
Schlagwörter: 
Risk measure
Model uncertainty
Value at risk
Average value at risk
Optimal portfolio
Merton portfolio
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.