英文标题：
《Measuring risk with multiple eligible assets》
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作者：
Walter Farkas, Pablo Koch-Medina, Cosimo Munari
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最新提交年份：
2014
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英文摘要：
  The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and continuity properties of these risk measures with respect to multiple eligible assets. Our finiteness and continuity results highlight the interplay between the acceptance set and the class of eligible portfolios. We present a simple, alternative approach to the dual representation of convex risk measures by directly applying to the acceptance set the external characterization of closed, convex sets. We prove that risk measures are nondegenerate if and only if the pricing functional admits a positive extension which is a supporting functional for the underlying acceptance set, and provide a characterization of when such extensions exist. Finally, we discuss applications to set-valued risk measures, superhedging with shortfall risk, and optimal risk sharing.
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中文摘要：
财务状况的风险通过筹集和投资符合条件的交易资产组合的最低资本量来衡量，以满足规定的可接受性约束。我们研究了这些风险度量关于多个合格资产的非退化性、有限性和连续性。我们的有限性和连续性结果强调了接受集和合格投资组合类别之间的相互作用。通过直接将闭凸集的外部特征应用于接受集，我们提出了一种简单的凸风险度量对偶表示的替代方法。我们证明了风险度量是非退化的，当且仅当定价泛函允许一个正扩展，它是基础接受集的一个支持泛函，并给出了这种扩展存在的特征。最后，我们讨论了集值风险度量、短缺风险超边缘化和最优风险分担的应用。
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分类信息：

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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