Spectral risk measures and the choice of risk aversion functior
|Title:||Spectral risk measures and the choice of risk aversion functior||Authors:||Dowd, Kevin
|Permanent link:||http://hdl.handle.net/10197/1188||Date:||11-Mar-2007||Abstract:||Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice of risk-aversion functions underlying spectral risk measures. This paper addresses this issue by examining two popular risk aversion functions, based on exponential and power utility functions respectively. We find that the former yields spectral risk measures with nice intuitiveproperties, but the latter yields spectral risk measures that can have perverse properties. More work therefore needs to be done before we can be sure that arbitrary but respectable utility functions will always yield ‘well-behaved’ spectral risk measures.||Funding Details:||Economic and Social Research Council; University College Dublin. School of||Type of material:||Working Paper||Publisher:||University College Dublin. School of Business. Centre for Financial Markets||Copyright (published version):||2007, Centre for Financial Markets||Keywords:||Coherent risk measures;spectral risk measures;Risk aversion functions||Subject LCSH:||Risk--Econometric models
|Language:||en||Status of Item:||Not peer reviewed|
|Appears in Collections:||Centre for Financial Markets Working Papers|
Show full item record
Page view(s) 50107
This item is available under the Attribution-NonCommercial-NoDerivs 3.0 Ireland. No item may be reproduced for commercial purposes. For other possible restrictions on use please refer to the publisher's URL where this is made available, or to notes contained in the item itself. Other terms may apply.