1 citations · 2 across the 10 of their papers we have counts for
4 papers · 1 filter
Meyer risk measures
Christian Laudagé, Felix-Benedikt Liebrich
Risk measures summarize the risk profile of financial positions in a single metric, which allows their comparison and supports investment decisions. When they respect common stocha…
Multi-asset return risk measures
Christian Laudagé, Felix-Benedikt Liebrich, Jörn Sass
We revisit the recently introduced concept of return risk measures (RRMs) and extend it by incorporating risk management via multiple so-called eligible assets. The resulting new c…
Law-invariant functionals that collapse to the mean: Beyond convexity
Felix-Benedikt Liebrich, Cosimo Munari
We establish general "collapse to the mean" principles that provide conditions under which a law-invariant functional reduces to an expectation. In the convex setting, we retrieve…
Law-invariant functionals that collapse to the mean
Fabio Bellini, Pablo Koch-Medina, Cosimo Munari +1
We discuss when law-invariant convex functionals "collapse to the mean". More precisely, we show that, in a large class of spaces of random variables and under mild semicontinuity…