Browsing Titles index "A Representation of Risk Measures"
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(Université de Montréal. Département de sciences économiques., 2013-10)We provide a representation theorem for risk measures satisfying (i) monotonicity; (ii) positive homogeneity; and (iii) translation invariance. As a simple corollary to our theorem, we obtain the usual representation of coherent risk measures (i.e., ...