英文标题：
《Optimal risk allocation in a market with non-convex preferences》
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作者：
Hirbod Assa
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最新提交年份：
2015
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英文摘要：
The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk measures, we give some necessary and sufficient conditions for the existence of optimal and asymptotic optimal allocations. We will show that, similar to a market with convex preferences, in a non-convex framework with distortion risk measures the boundedness of the optimal risk allocation problem depends only on the preferences. Second, we consider the same optimal allocation problem by adding a further assumption that allocations are co-monotone. We characterize the co-monotone optimal risk allocations within which we prove the \"marginal risk allocations\" take only the values zero or one. Remarkably, we can separate the role of the market preferences and the total risk in our representation.
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中文摘要：
本研究的目的有两个。首先，我们考虑一个具有非凸偏好的最优风险分配问题。通过建立失真风险测度的一个弱表示，我们给出了最优和渐近最优配置存在的一些充要条件。我们将证明，与具有凸偏好的市场类似，在具有扭曲风险度量的非凸框架中，最优风险分配问题的有界性仅取决于偏好。第二，我们考虑同样的最优分配问题，进一步假设分配是协单调的。我们刻画了协单调最优风险分配，证明了“边际风险分配”只取0或1。值得注意的是，我们可以将市场偏好的作用与我们代表的总风险分开。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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