Excess invariance and shortfall risk measures

Jeremy Staum*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

9 Scopus citations

Abstract

This paper introduces the axiom of excess invariance for risk measures, meaning insensitivity to the amount by which a portfolio's value exceeds a benchmark. Using this axiom, the paper defines the class of shortfall risk measures. Shortfall risk measures are suitable for regulatory or risk management applications in which risk is associated with shortfall beneath a benchmark, whereas excess above the benchmark is not important.

Original languageEnglish (US)
Pages (from-to)47-53
Number of pages7
JournalOperations Research Letters
Volume41
Issue number1
DOIs
StatePublished - Jan 1 2013

Keywords

  • Cash additive
  • Cash invariant
  • Excess-invariant
  • Risk measures
  • Shortfall
  • Translation invariant

ASJC Scopus subject areas

  • Management Science and Operations Research
  • Applied Mathematics
  • Industrial and Manufacturing Engineering
  • Software

Fingerprint Dive into the research topics of 'Excess invariance and shortfall risk measures'. Together they form a unique fingerprint.

Cite this