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• W2911517217 abstract "This paper introduces a (coherent) risk measure that describes the uncertainty of the model (represented by a probability measure $P_0$) by a set $P_lambda$ of probability measures each of which has a Radon-Nikodym's derivative (with respect to $P_0$) that lies within the interval $[lambda,frac{1}{lambda}]$ for some constant $lambdain(0,1]$. Economic considerations are discussed and an explicit representation is obtained that gives a connection to both the expected loss of the financial position and its *average value-at-risk*. Optimal portfolio analysis is performed -- different optimization criteria lead to Merton portfolio. Comparison with related problems reveals examples of extreme sensitivity of optimal portfolios to model parameters and the choice of risk measure." @default.
• W2911517217 created "2019-02-21" @default.
• W2911517217 creator A5075947515 @default.
• W2911517217 date "2019-02-13" @default.
• W2911517217 modified "2023-09-27" @default.
• W2911517217 title "Locally Constant Model Uncertainty Risk Measure" @default.
• W2911517217 hasPublicationYear "2019" @default.
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