摘要翻译：
研究了描述无套利定价界的子区间--好交易界的上下界的凸风险测度。我们把这样一个凸风险测度称为好交易估值，并从市场的角度给出了它存在的一组等价条件。一个好交易的估价具有几个等价性质，特别地，我们看到凸风险测度只有当它是一个风险无差别价格时才是一个好交易的估价。给出了一个在缺口风险度量中的应用。此外，我们还证明了无免费午餐(NFL)条件等价于存在一个相关的凸风险测度，这是一个很好的估值。事实证明，相关性是一笔好交易估值合理的一个条件。进一步，我们研究任何好交易的估值都是相关的条件。
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英文标题：
《Convex risk measures for good deal bounds》
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作者：
Takuji Arai and Masaaki Fukasawa
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  We study convex risk measures describing the upper and lower bounds of a good deal bound, which is a subinterval of a no-arbitrage pricing bound. We call such a convex risk measure a good deal valuation and give a set of equivalent conditions for its existence in terms of market. A good deal valuation is characterized by several equivalent properties and in particular, we see that a convex risk measure is a good deal valuation only if it is given as a risk indifference price. An application to shortfall risk measure is given. In addition, we show that the no-free-lunch (NFL) condition is equivalent to the existence of a relevant convex risk measure which is a good deal valuation. The relevance turns out to be a condition for a good deal valuation to be reasonable. Further we investigate conditions under which any good deal valuation is relevant.
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PDF链接：
https://arxiv.org/pdf/1108.1273