CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS

被引：9

作者：

Arai, Takuji ^{[1
]}

Fukasawa, Masaaki ^{[2
]}

机构：

[1] Keio Univ, Dept Econ, Tokyo 1088345, Japan

[2] Osaka Univ, Dept Math, Suita, Osaka 565, Japan

来源：

MATHEMATICAL FINANCE | 2014年 / 24卷 / 03期

基金：

日本科学技术振兴机构;

关键词：

convex risk measure; good deal bound; Orlicz space; risk indifference price; fundamental theorem of asset pricing; PRICE; ARBITRAGE;

D O I：

10.1111/mafi.12020

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study convex risk measures describing the upper and lower bounds of a good deal bound, which is a subinterval of a no-arbitrage pricing bound. We call such a convex risk measure a good deal valuation and give a set of equivalent conditions for its existence in terms of market. A good deal valuation is characterized by several equivalent properties and in particular, we see that a convex risk measure is a good deal valuation only if it is given as a risk indifference price. An application to shortfall risk measure is given. In addition, we show that the no-free-lunch (NFL) condition is equivalent to the existence of a relevant convex risk measure, which is a good deal valuation. The relevance turns out to be a condition for a good deal valuation to be reasonable. Further, we investigate conditions under which any good deal valuation is relevant.

引用

页码：464 / 484

页数：21

共 28 条

[1] Good Deal Bounds Induced by Shortfall Risk [J].