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Dilatation monotone risk measures are law invariant

  • Published:2007-02-08 Issue:2 Volume:11 Page:291-298
  • ISSN:0949-2984
  • Container-title:Finance and Stochastics
  • language:en
  • Short-container-title:Finance Stoch

Author:

Cherny Alexander S.,Grigoriev Pavel G.

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Reference17 articles.

1. Acerbi C. (2002). Spectral measures of risk: a coherent representation of subjective risk aversion. J. Bank. Financ. 26: 1505–1518

2. Artzner P., Delbaen F., Eber J.-M. and Heath D. (1997). Thinking coherently. Risk 10: 68–71

3. Artzner P., Delbaen F., Eber J.-M. and Heath D. (1999). Coherent measures of risk. Math. Financ. 9: 203–228

4. Cherny, A.S.: Equilibrium with coherent risk. Preprint (2006). Available at: http://mech. math.msu.su/∼cherny

5. Cherny A.S. (2006). Weighted V@R and its properties. Financ. Stoch. 10: 367–393

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2. Law-Invariant Functionals on General Spaces of Random Variables;SIAM Journal on Financial Mathematics;2021-01

3. Risk arbitrage and hedging to acceptability under transaction costs;Finance and Stochastics;2020-12-30

4. On the extension property of dilatation monotone risk measures;Statistics & Risk Modeling;2020-07-01

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