Minerva Research Foundation Lectures
نویسندگان
چکیده
We discuss recent advances in the mathematical quantification of financial risk. The standard approach in terms of Value at Risk has serious deficiencies. This has motivated a systematic analysis of risk measures which satisfy some minimal requirements of coherence and consistency. Our focus will be on the basic structure theorems for convex risk measures, on the role of law-invariance, and on the dynamics of risk measures as new information comes in. We shall also describe the connections with recent developments in the microeconomic theory of preferences in the face of uncertainty and model ambiguity.
منابع مشابه
Convexity and Topology on Measure Spaces
This draft will develop in notes for the Minerva lectures given at Columbia University by the author in October of 2015. At this point, the text is very incomplete and may contain substantial mistakes and inconsistencies. Please do not distribute without permission of the author, and contact via email at [email protected] to report and errors you may have discovered.
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