Model Spaces for Risk Measures
Risk Management
2017-11-27 v3 Functional Analysis
Abstract
We show how risk measures originally defined in a model free framework in terms of acceptance sets and reference assets imply a meaningful underlying probability structure. Hereafter we construct a maximal domain of definition of the risk measure respecting the underlying ambiguity profile. We particularly emphasise liquidity effects and discuss the correspondence between properties of the risk measure and the structure of this domain as well as subdifferentiability properties. Keywords: Model free risk assessment, extension of risk measures, continuity properties of risk measures, subgradients.
Cite
@article{arxiv.1703.01137,
title = {Model Spaces for Risk Measures},
author = {Felix-Benedikt Liebrich and Gregor Svindland},
journal= {arXiv preprint arXiv:1703.01137},
year = {2017}
}
Comments
Preprint version