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Coherent Risk Measure Based on Relative Entropy

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WOS被引频次:6
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成果类型:
期刊论文
作者:
Zheng Chengli*;Chen Yan
通讯作者:
Zheng Chengli
作者机构:
[Zheng Chengli] Huazhong Normal Univ, Sch Econ, Wuhan 430079, Peoples R China.
[Chen Yan] Huazhong Normal Univ, Sch Math & Stat, Wuhan 430079, Peoples R China.
通讯机构:
[Zheng Chengli] Huazhong Normal Univ, Sch Econ, Wuhan 430079, Peoples R China.
语种:
英文
关键词:
Risk Management;Iso-entropic Risk Measure;Coherent Risk Measure;Relative Entropy;Calculus of Variations
期刊:
APPLIED MATHEMATICS & INFORMATION SCIENCES
ISSN:
1935-0090
年:
2012
卷:
6
期:
2
页码:
233-238
文献类别:
WOS:Article
所属学科:
ESI学科类别:数学;WOS学科类别:Mathematics, Applied;Physics, Mathematical
入藏号:
基金类别:
National Natural Science Foundation of China (NSFC) [71171095]; Foundation of Huazhong Normal University [2010TS021]
机构署名:
本校为第一且通讯机构
院系归属:
数学与统计学学院
经济与工商管理学院
摘要:
This article proposes a new coherent risk measure called iso-entropic risk measure, which is based on relative entropy under the theory framework of Artzner et al.(1999). It is pointed that this measure is just the negative expectation of the risk portfolio position under the probability measure through Esscher transformation. This iso-entropic risk measure is not a 0-1 risk measure and very smooth in contrast with another important coherent risk measure AV@R (Average Value at Risk). And it is a little larger than AV@R at the same level, namely it is has more prudence. So it maybe a better coherent risk measure.
参考文献:
Abdalla M. Sebawe, 2011, APPL MATH INFORM SCI, P570
Acerbi C, 2002, J BANK FINANC, V26, P1505, DOI 10.1016/S0378-4266(02)00281-9
Artzner P, 1999, MATH FINANC, V9, P203, DOI 10.1111/1467-9965.00068
ARTZNER P, 1997, RISK, V10, P68
Ben-Tal A, 2007, MATH FINANC, V17, P449, DOI 10.1111/j.1467-9965.2007.00311.x

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