Now showing items 1-1 of 1

  • A Representation of Risk Measures 

    Amarante, Massimiliano (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., ...