Economy – Quantitative Finance – Risk Management
Scientific paper
2011-03-29
Economy
Quantitative Finance
Risk Management
Scientific paper
Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative approaches based on exponential and power utility functions. A number of problems are identified with both types of spectral risk measure. The general lesson is that users of spectral risk measures must be careful to select utility functions that fit the features of the particular problems they are dealing with, and should be especially careful when using power SRMs.
Cotter John
Dowd Kevin
Sorwar Ghulam
No associations
LandOfFree
Spectral Risk Measures: Properties and Limitations does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Spectral Risk Measures: Properties and Limitations, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Spectral Risk Measures: Properties and Limitations will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-163572