RISK MEASURES: RATIONALITY AND DIVERSIFICATION

By Simone Cerreia-Vioglio, Fabio Maccheroni, Massimo Marinacci, Luigi Montrucchio. 2010

147 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/d01b9fd61702bf20a5c3536d32245cc93ff1c686

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Citations in the corpus

Continuity properties of law-invariant (quasi-)convex risk functions on L∞ (2010, unknown): “This may be no surprise, it seems obvious that the standardness of the underlying probability space should not play a prominent role, however we feel the necessity of clarifying this fact since the main result of [11] is often cited (see [1,3,7,8,10,12,13,17], and many more).”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “Letting θ ≡ μ− μ̂ be the divergence between one of the possible mean vectors under MPP and the vector of expected returns under the benchmark model, Kogan and Wang prove that the problem in (32) can be re-written as”
RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION (2014, unknown): “It is well RISK MEASURES ON P(R) 445 known (see Cerreia-Vioglio et al. 2011b) that for maps defined on random variables, quasi-convexity and cash additivity imply convexity.”
Niveloids and their extensions: Risk measures on small domains (2014, background): “See the discussion in El Karoui and Ravanelli [13] and Cerreia-Vioglio, Maccheroni, Marinacci, and Montrucchio [5].”
Representation results for law invariant time consistent functions (2009, background): “[7] recently proved that a function c0 : L∞ → R is of the form (5) if and only if c0 is normalized on constants, law invariant, monotone, has the Lebesgue property and satisfies c0(X1A) > c0(Y 1A) ⇔ c0(X1A + Z1Ac) > c0(Y 1A + Z1Ac) (7) for all A ∈ F and all X,Y, Z ∈ L∞.”
Cautious Expected Utility and the Certainty Effect (2015, background): “Figure 2 summarizes our discussion thus far about the relationship between the various models.20 Maccheroni (2002) (see also Chatterjee and Krishna, 2011) derives a utility function over lotteries of the following form: there exists a set T of utilities over outcomes, such that the value of every…”
Entropic Value-at-Risk: A New Coherent Risk Measure (2012, background): “[14] studied convex and quasiconvex cash-subadditive risk measures, respectively.”