Geodesic
Risk Measures, Convexity, and Max-Min Shortfalls
Journal of convex analysis, Tome 22 (2015) no. 3, pp. 603-626
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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.
Classification : 46N10, 47H07, 91B30, 91G80
Mots-clés : Convex risk measures, normalized prices, max-min shortfall, asset pricing, ambiguity aversion 
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     author = {S. D. Fl\r{a}m},
     title = {Risk {Measures,} {Convexity,} and {Max-Min} {Shortfalls}},
     journal = {Journal of convex analysis},
     pages = {603--626},
     year = {2015},
     volume = {22},
     number = {3},
     url = {http://geodesic.mathdoc.fr/item/JCA_2015_22_3_JCA_2015_22_3_a0/}
}
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S. D. Flåm. Risk Measures, Convexity, and Max-Min Shortfalls. Journal of convex analysis, Tome 22 (2015) no. 3, pp. 603-626. http://geodesic.mathdoc.fr/item/JCA_2015_22_3_JCA_2015_22_3_a0/