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Trade-Off between Robust Risk Measurement and Market Principals
Year Of Publication: 2011
Month Of Publication: May
Pages: 18
Download Count: 2
View Count: 1458
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 5-26-2011
Publisher: Administrator
The paper is organized as follows. In section 2 we will de ne a coherent risk measure and briefly compare it with VaR (Value at Risk). Then, we define distribution invariant risk measures and the notion of a Good Deal. In section 3 we will show that in a perfect market, a robust risk measure generates Good Deals. In section 4 we de ne the minimal modi cation of a distribution invariant risk measure and analyze its sensitivity.
Assa, Hirbod Sign in to follow this author
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