Coherent Risk Measures Derived from Utility Functions
Coherent risk measures in financial management are discussed from the view point of average value-at-risks with risk spectra. A minimization problem of the distance between risk estimations through decision maker’s utility and coherent risk measures with risk spectra is introduced. The risk spectrum of the optimal coherent risk measures in this problem is obtained and it inherits the risk averse property of utility functions. Various properties of coherent risk measures and risk spectrum are demonstrated. Several numerical examples are given to illustrate the results.
This research is supported from JSPS KAKENHI Grant Number JP 16K05282.
- 7.Jorion, P.: Value at Risk: The New Benchmark for Managing Financial Risk. McGraw-Hill, New York (2006)Google Scholar