4 papers
Geometrically convex return risk measures on AM-algebras
Christian Laudagé
Monetary risk measures quantify the risk of uncertain monetary payoffs (or losses), whereas in time series analysis risk is typically assessed using logarithmic returns. Return ris…
When risk defies order: On the limits of fractional stochastic dominance
Christian Laudagé, Felix-Benedikt Liebrich
Motivated by recent work on monotone additive statistics and questions regarding optimal risk sharing for return-based risk measures, we investigate the existence, structure, and a…
Risk measures based on target risk profiles
Jascha Alexander, Christian Laudagé, Jörn Sass
We address the problem that classical risk measures may not detect the tail risk adequately. This can occur for instance due to averaging when calculating the Expected Shortfall. T…
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…