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Coherent Risk Measures Derived from Utility Functions

  • Yuji Yoshida
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 11144)

Abstract

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.

Notes

Acknowledgments

This research is supported from JSPS KAKENHI Grant Number JP 16K05282.

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Copyright information

© Springer Nature Switzerland AG 2018

Authors and Affiliations

  1. 1.Faculty of Economics and Business AdministrationUniversity of KitakyushuKitakyushuJapan

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