Abstract

Monetary risk measures are studied here in terms of acceptable outcomes, normalized non-negative prices, and resulting shortfalls. At center stage stand convex analysis, saddle functions and associated max-min formulae. The latter comply with common sense and established theory.

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Keywords

  • Convex risk measures
  • normalized prices
  • max-min shortfall
  • asset pricing
  • ambiguity aversion

Mathematics Subject Classification

46N10, 47H07, 91B30, 91G80

Suggested citation

S. D. Flåm. “Risk Measures, Convexity, and Max-Min Shortfalls.” Journal of Convex Analysis 22 (2015), No. 3, 603–626. https://doi.org/10.68381/jca22030

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Published by Heldermann Verlag, 2015. Rights now held by Banach Press.