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Erschienen in:
2002 | OriginalPaper | Buchkapitel
Robust Preferences and Convex Measures of Risk
verfasst von : Hans Föllmer, Alexander Schied
Erschienen in: Advances in Finance and Stochastics
Verlag: Springer Berlin Heidelberg
Enthalten in: Professional Book Archive
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We prove robust representation theorems for monetary measures of risk in a situation of uncertainty, where no probability measure is given a priori. They are closely related to a robust extension of the Savage representation of preferences on a space of financial positions which is due to Gilboa and Schmeidler. We discuss the problem of computing the monetary measure of risk induced by the subjective loss functional which appears in the robust Savage representation.