{"title":"Robust convex risk measures","authors":"Marcelo Righi","doi":"arxiv-2406.12999","DOIUrl":null,"url":null,"abstract":"We study the general properties of robust convex risk measures as worst-case\nvalues under uncertainty on random variables. We establish general concrete\nresults regarding convex conjugates and sub-differentials. We refine some\nresults for closed forms of worstcase law invariant convex risk measures under\ntwo concrete cases of uncertainty sets for random variables: based on the first\ntwo moments and Wasserstein balls.","PeriodicalId":501128,"journal":{"name":"arXiv - QuantFin - Risk Management","volume":"188 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Risk Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2406.12999","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
We study the general properties of robust convex risk measures as worst-case
values under uncertainty on random variables. We establish general concrete
results regarding convex conjugates and sub-differentials. We refine some
results for closed forms of worstcase law invariant convex risk measures under
two concrete cases of uncertainty sets for random variables: based on the first
two moments and Wasserstein balls.
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