2022/07/25 by Roger J. A. Laeven, Laeven, Roger J. A., Emanuela Rosazza Gianin +1
Decision Sciences · Computer Science · Economics, Econometrics and Finance · #Risk and Portfolio Optimization #Optimization and Variational Analysis #Economic theories and models
paper · pdf · doi:10.48550/arxiv.2208.07694
This paper introduces and fully characterizes the novel class of quasi-logconvex measures of risk, to stand on equal footing with the rich class of quasi-convex measures of risk. Quasi-logconvex risk measures naturally generalize logconvex return risk measures, just like quasi-convex risk measures generalize convex monetary risk measures. We establish their dual representation and analyze their taxonomy in a few (sub)classification results. Furthermore, we characterize quasi-logconvex risk measures in terms of properties of families of acceptance sets and provide their law-invariant representation. Examples and applications to portfolio choice and capital allocation are also discussed.