Robust Preferences and Convex Measures of Risk

  • Hans Föllmer
  • Alexander Schied
Chapter

Summary

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.

Keywords

Entropy IllY 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2002

Authors and Affiliations

  • Hans Föllmer
    • 1
  • Alexander Schied
    • 2
  1. 1.Institut of MathematicsHumboldt-UniversityBerlinGermany
  2. 2.Institute of MathematicsTechnische UniversitätBerlinGermany

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