英文标题：
《Multivariate risk measures in the non-convex setting》
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作者：
Andreas Haier and Ilya Molchanov
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最新提交年份：
2019
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英文摘要：
The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g. in case of fixed transaction costs or when only a finite number of transfers are possible. The paper presents an approach to measure risks of such positions based on the idea of considering all selections of the portfolio and checking if one of them is acceptable. Properties and basic examples of risk measures of non-convex portfolios are presented.
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中文摘要：
交易成本模型中的容许位置族是一个随机闭集，在比例交易成本的情况下是凸的。然而，凸性失败了，例如，在固定交易成本的情况下，或者在只有有限数量的转移可能的情况下。本文提出了一种基于考虑投资组合的所有选择并检查其中一个选择是否可接受的思想来衡量此类头寸风险的方法。给出了非凸投资组合风险测度的性质和基本例子。
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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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