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Aggregation of Dynamic Risk Measures in Financial Management

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Modeling Decisions for Artificial Intelligence (MDAI 2014)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 8825))

Abstract

This paper discusses aggregation of dynamic risks in financial management. The total risks in dynamic systems are usually estimated from risks at each time. This paper discusses what kind of aggregation methods are possible for dynamic risks. Coherent risk measures and their possible aggregation methods are investigated. This paper presents aggregation of dynamic coherent risks by use of generalized deviations. A few examples are also given.

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Author information

Authors and Affiliations

  1. Faculty of Economics and Business Administration, University of Kitakyushu, 4-2-1 Kitagata, Kokuraminami, Kitakyushu, 802-8577, Japan

    Yuji Yoshida

Authors
  1. Yuji Yoshida
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Editor information

Editors and Affiliations

  1. CSIC, Consejo Superior de Investigaciones Cientificas, 08193, Bellaterra, Spain

    Vicenç Torra

  2. Toho Gakuen, 186-0004, Tokyo, Japan

    Yasuo Narukawa

  3. Faculty of Engineering, Information and Systems, University of Tsukuba, 305-8573, Tsukuba, Ibaraki, Japan

    Yasunori Endo

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© 2014 Springer International Publishing Switzerland

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Yoshida, Y. (2014). Aggregation of Dynamic Risk Measures in Financial Management. In: Torra, V., Narukawa, Y., Endo, Y. (eds) Modeling Decisions for Artificial Intelligence. MDAI 2014. Lecture Notes in Computer Science(), vol 8825. Springer, Cham. https://doi.org/10.1007/978-3-319-12054-6_4

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  • DOI: https://doi.org/10.1007/978-3-319-12054-6_4

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-12053-9

  • Online ISBN: 978-3-319-12054-6

  • eBook Packages: Computer ScienceComputer Science (R0)

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