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Journal of Convex Analysis 22 (2015), No. 3, 603--626
Copyright Heldermann Verlag 2015

Risk Measures, Convexity, and Max-Min Shortfalls

Sjur Didrik Flåm
Economics Department, University of Bergen, 5020 Bergen, Norway

Monetary risk measures are studied here in terms of acceptable outcomes, normalized non-negative prices, and resulting shortfalls. At center stage stand convex analysis, saddle functions and associated max-min formulae. The latter comply with common sense and established theory.

Keywords: Convex risk measures, normalized prices, max-min shortfall, asset pricing, ambiguity aversion.

MSC: 46N10, 47H07, 91B30, 91G80

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