论文标题
$ρ$ arbitrage和$ρ$ - 一致的星形风险措施定价
$ρ$-arbitrage and $ρ$-consistent pricing for star-shaped risk measures
论文作者
论文摘要
本文在一个周期金融市场中重新审视了平均风险投资组合的选择，那里的风险是通过星形风险度量$ρ$量化的。我们做出三项贡献。首先，我们将敏感性的新公理引入了大型预期损失，并表明这是确保存在最佳投资组合的关键。其次，我们给出（strong）$ρ$ arbitrage的原始和双重特征。最后，我们使用条件在没有（强）$ρ$ - 贵族的情况下明确地得出了外部金融合同的（强）$ρ$ - 一致的价格间隔。
This paper revisits mean-risk portfolio selection in a one-period financial market, where risk is quantified by a star-shaped risk measure $ρ$. We make three contributions. First, we introduce the new axiom of sensitivity to large expected losses and show that it is key to ensure the existence of optimal portfolios. Second, we give primal and dual characterisations of (strong) $ρ$-arbitrage. Finally, we use our conditions for the absence of (strong) $ρ$-arbitrage to explicitly derive the (strong) $ρ$-consistent price interval for an external financial contract.
