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AN00234610-20120701-0091.pdf
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| Title |
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ショートフォールリスク測度とその表現
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| Kana |
ショートフォール リスク ソクド ト ソノ ヒョウゲン
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Shotoforu risuku sokudo to sono hyogen
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| Other Title |
| Title |
Shortfall risk measure and its representation results
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新井, 拓児
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アライ, タクジ
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| Romanization |
Arai, Takuji
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| Affiliation |
慶應義塾大学経済学部准教授
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慶應義塾経済学会
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| Kana |
ケイオウ ギジュク ケイザイ ガッカイ
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| Romanization |
Keio gijuku keizai gakkai
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2012
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三田学会雑誌
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Keio journal of economics
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105
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2
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2012
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7
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| Start page |
199(91)
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215(107)
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| Abstract |
ショートフォールリスク測度の意味と数学的背景を概説し, ロバスト表現定理の導出を, ポートフォリオ制約がない場合と凸錘制約がある場合について行う。ショートフォールリスク測度とは, 条件付き請求権のヘッジと価格付けに関連した凸リスク測度である。さらに凸リスク測度とは, 確率変数のクラスの上に定義された移動不変性を持つ単調凸汎関数であり, 金融資産の将来価値のリスクを計量するために用いられる。
We give an outline of the financial meaning and mathematical background of shortfall risk measures; and discuss its robust representation results for models without constraints and with convex constraints.
Now, a shortfall risk measure is a convex risk measure related to hedging and pricing for contingent claims.
In addition, a convex risk measure is a monotone cash-invariant convex functional on a certain class of random variables; and is used for quantifying risk related to future value of financial assets.
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| History |
| Jun 6, 2014 | | フリーキーワード, 本文 を変更 |
| Jul 31, 2015 | | 抄録, 版, 本文 を変更 |
| Nov 2, 2021 | | JaLCDOI を変更 |
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