Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/62741 
Year of Publication: 
2001
Series/Report no.: 
SFB 373 Discussion Paper No. 2001,71
Publisher: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Abstract: 
We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et aL (1999), and we prove a corresponding extension of the representation theorem in terms of probability measures on the underlying space of scenarios. As a case study, we consider convex measures of risk defined in terms of a robust not ion of bounded shortfall risk. In the context of a financial market model, it turns out that the representation theorem is closely related to the superhedging duality under convex constraints.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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