In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the contract to the same level of risk. Focusing for the first time on the context where risk is measured according to convex risk measures, we … Read more
In this paper we consider interchangeability of the minimization operator with monotone risk functionals. In particular we discuss the role of strict monotonicity of the risk functionals. We also discuss implications to solutions of dynamic programming equations of risk averse multistage stochastic programming problems. ArticleDownload View PDF
In this work we introduce a class of measures for evaluating the quality of financial positions based on their ability to achieve desired financial goals. In the spirit of Simon (1959), we call these measures satisficing measures and show that they are dual to classes of risk measures. This approach has the advantage that aspiration … Read more