论文标题
准环境量的风险度量
Quasi-Logconvex Measures of Risk
论文作者
论文摘要
本文介绍并充分表征了新型的准环境风险度量量度，以与丰富的准定量风险度量相等地站立。 Quasi-logConvex风险度量自然会概括LogConvex的回报风险度量，就像准企业风险度量概述凸出的货币风险措施一样。我们建立他们的双重表示，并分析其分类学的分类结果。此外，我们以验收集的家族的性质为角度来表征准coSi-logConvex风险度量，并提供其法律不变的代表。还讨论了投资组合选择和资本分配的示例和应用。
This paper introduces and fully characterizes the novel class of quasi-logconvex measures of risk, to stand on equal footing with the rich class of quasi-convex measures of risk. Quasi-logconvex risk measures naturally generalize logconvex return risk measures, just like quasi-convex risk measures generalize convex monetary risk measures. We establish their dual representation and analyze their taxonomy in a few (sub)classification results. Furthermore, we characterize quasi-logconvex risk measures in terms of properties of families of acceptance sets and provide their law-invariant representation. Examples and applications to portfolio choice and capital allocation are also discussed.
