Quasi-Logconvex Measures of Risk
Risk Management
2022-08-17 v1 Probability
Abstract
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.
Keywords
Cite
@article{arxiv.2208.07694,
title = {Quasi-Logconvex Measures of Risk},
author = {Roger J. A. Laeven and Emanuela Rosazza Gianin},
journal= {arXiv preprint arXiv:2208.07694},
year = {2022}
}