2007/10/20 by Thaleia Zariphopoulou, Zariphopoulou, Thaleia, Gordan Žitković +1 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Optimization and Control (math.OC) #Probability (math.PR) #Risk Management (q-fin.RM) #Risk and Portfolio Optimization #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.0710.3892
openalex publication_date 2007/10/20 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a finite probability space and the other in a diffusion framework, that, surprisingly, some of the widely utilized risk measures cannot be used to build maturity-independent counterparts. We construct a large class of maturity-independent risk measures and give representative examples in both continuous- and discrete-time financial models.