• Corpus ID: 251594697

Quasi-Logconvex Measures of Risk

@inproceedings{Laeven2022QuasiLogconvexMO,
  title={Quasi-Logconvex Measures of Risk},
  author={Roger J. A. Laeven and Emanuela Rosazza Gianin},
  year={2022}
}
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… 

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