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

  title={Spectral measures of risk : A coherent representation of subjective risk aversion},
  author={Carlo Acerbi},
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
Highly Influential
This paper has highly influenced 77 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS

From This Paper

Topics from this paper.


Publications referenced by this paper.
Showing 1-10 of 12 references

A strong law for linear functions of order statistics

  • W. R. uryasev. van Zwet
  • Annals of Probability
  • 1980
Highly Influential
5 Excerpts

Premium calculation by transforming the layer premium density

  • S. 986–990. Wang
  • Astin Bulletin
  • 1996
Highly Influential
1 Excerpt

Expected shortfall as a tool for financial risk management . Working paper

  • C. Acerbi, D. Tasche
  • 2001
2 Excerpts

Some remarks on the value-at-risk and the conditional value-at-risk

  • G. 83–95. Pflug
  • Probabilistic Constrained Optimization…
  • 2000
2 Excerpts

Similar Papers

Loading similar papers…