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摘要翻译：
频谱风险度量是一种很有吸引力的风险度量，因为它们允许用户获得反映其风险规避功能的风险度量。到目前为止，关于光谱风险度量所依据的风险规避函数的选择，几乎没有指导。本文通过检验两个流行的风险厌恶函数，分别基于指数效用函数和幂效用函数来解决这个问题。我们发现前者得到的光谱风险测度具有良好的直观性质，而后者得到的光谱风险测度可能具有相反的性质。因此，需要做更多的工作，才能确保任意但值得尊敬的效用函数总是产生“行为良好”的频谱风险度量。
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英文标题：
《Spectral Risk Measures and the Choice of Risk Aversion Function》
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作者：
kevin dowd and john cotter
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最新提交年份：
2011
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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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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice of risk-aversion functions underlying spectral risk measures. This paper addresses this issue by examining two popular risk aversion functions, based on exponential and power utility functions respectively. We find that the former yields spectral risk measures with nice intuitive properties, but the latter yields spectral risk measures that can have perverse properties. More work therefore needs to be done before we can be sure that arbitrary but respectable utility functions will always yield 'well-behaved' spectral risk measures.
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PDF链接：
https://arxiv.org/pdf/1103.5668
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