Spectral measures of risk : A coherent representation of subjective risk aversion

@inproceedings{Acerbi2002SpectralMO,
  title={Spectral measures of risk : A coherent representation of subjective risk aversion},
  author={Carlo Acerbi},
  year={2002}
}
We study a space of coherent risk measures M/ obtained as certain expansions of coherent elementary basis measures. In this space, the concept of ‘‘risk aversion function’’ / naturally arises as the spectral representation of each risk measure in a space of functions of confidence level probabilities. We give necessary and sufficient conditions on / for M/ to be a coherent measure. We find in this way a simple interpretation of the concept of coherence and a way to map any rational investor’s… CONTINUE READING
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