Convexity conditions and existence theorems in nonlinear elasticity

We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et al. (1999), and we prove a corresponding extension of the representation theorem in terms of probability measures on the underlying space of scenarios. As a case study, we consider convex measures of risk defined in terms of a robust notion of bounded shortfall risk. In the context of a financial market model, it turns out that the representation theorem is closely related to the superhedging duality under convex constraints.

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Convex measures of risk and trading constraints

We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et aL (1999), and we prove a corresponding extension of the representation theorem in terms of probability measures on the underlying space of scenarios. As a case study, we consider convex measures of risk defined in terms of a robust not ion of bounded shortfall risk. In the context of a financial market model, it turns out that the representation theorem is closely related to the superhedging duality under convex constraints.

The paper studies the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a financial market. We show that the necessary and sufficient condition on a utility function for the validity of several key assertions of the theory to hold true is the requirement that the asymptotic elasticity of the utility function is strictly less then one. (author's abstract)

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The asymptotic elasticity of utility functions and optimal investment in incomplete markets

Preface 1. Introduction: Donsker's theorem, metric entropy and inequalities 2. Gaussian measures and processes sample continuity 3. Foundations of uniform central limit theorems: Donsker classes 4. Vapnik-Cervonenkis combinatorics 5. Measurability 6. Limit theorems for Vapnik-Cervonenkis and related classes 7. Metric entropy, with inclusion and bracketing 8. Approximation of functions and sets 9. Sums in general Banach spaces and invariance principles 10. Universal and uniform central limit theorems 11. The two-sample case, the bootstrap, and confidence sets 12. Classes of sets or functions too large for central limit theorems Appendices Subject index Author index Index of notation.

/pdf/uniform-central-limit-theorems-2w96qbq58m.pdf

Leo F. Boron

Papers

Convex functions and Orlicz spaces