稳健的凸风险度量

arXiv - QuantFin - Risk Management Pub Date : 2024-06-18 DOI:arxiv-2406.12999

Marcelo Righi

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摘要

我们研究了作为随机变量不确定性下最坏情况值的稳健凸风险度量的一般性质。我们建立了有关凸共轭和次微分的一般具体结果。在随机变量不确定性集的两种具体情况下，我们完善了最坏情况法律不变凸风险度量的封闭形式的一些结果：基于前两个矩和瓦瑟斯坦球。

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Robust convex risk measures

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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arXiv - QuantFin - Risk Management

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