Set risk measures
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866913145010782208 |
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| author | Righi, Marcelo Horta, Eduardo Moresco, Marlon |
| author_facet | Righi, Marcelo Horta, Eduardo Moresco, Marlon |
| contents | We introduce set risk measures (SRMs), real-valued maps defined on the family of non-empty closed bounded sets of essentially bounded random variables. SRMs extend traditional scalar risk measures by assigning a single capital requirement to an entire set of positions. We develop an axiomatic framework for SRMs, adapting classical properties such as monotonicity, translation invariance, convexity, and positive homogeneity to set arithmetic. The main technical contribution is a dual representation of convex SRMs through the \strict{} topology and regular $τ$-additive unit-mass measures. We also characterize worst-case SRMs and present examples related to systemic risk, Knightian uncertainty, and preference representations. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_18687 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Set risk measures Righi, Marcelo Horta, Eduardo Moresco, Marlon Mathematical Finance Risk Management We introduce set risk measures (SRMs), real-valued maps defined on the family of non-empty closed bounded sets of essentially bounded random variables. SRMs extend traditional scalar risk measures by assigning a single capital requirement to an entire set of positions. We develop an axiomatic framework for SRMs, adapting classical properties such as monotonicity, translation invariance, convexity, and positive homogeneity to set arithmetic. The main technical contribution is a dual representation of convex SRMs through the \strict{} topology and regular $τ$-additive unit-mass measures. We also characterize worst-case SRMs and present examples related to systemic risk, Knightian uncertainty, and preference representations. |
| title | Set risk measures |
| topic | Mathematical Finance Risk Management |
| url | https://arxiv.org/abs/2407.18687 |