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摘要翻译：
频谱风险度量是一种考虑用户风险厌恶的风险度量，但迄今为止，对其基础的效用函数的选择几乎没有指导。本文通过研究基于指数效用函数和幂效用函数的替代方法来解决这个问题。两种类型的光谱风险度量都发现了一些问题。一般的教训是，光谱风险度量的用户必须小心选择适合他们所处理的特定问题的特征的效用函数，在使用功率SRM时应该特别小心。
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英文标题：
《Spectral Risk Measures: Properties and Limitations》
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作者：
Kevin Dowd, John Cotter and Ghulam Sorwar
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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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英文摘要：
Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative approaches based on exponential and power utility functions. A number of problems are identified with both types of spectral risk measure. The general lesson is that users of spectral risk measures must be careful to select utility functions that fit the features of the particular problems they are dealing with, and should be especially careful when using power SRMs.
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PDF链接：
https://arxiv.org/pdf/1103.5674
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