Skip to main content
Springer Nature Link
Log in

Aggregation of Dynamic Risk Measures in Financial Management

  • Conference paper
Modeling Decisions for Artificial Intelligence (MDAI 2014)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 8825))

Abstract

This paper discusses aggregation of dynamic risks in financial management. The total risks in dynamic systems are usually estimated from risks at each time. This paper discusses what kind of aggregation methods are possible for dynamic risks. Coherent risk measures and their possible aggregation methods are investigated. This paper presents aggregation of dynamic coherent risks by use of generalized deviations. A few examples are also given.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution

Subscribe and save

Springer+ Basic
$34.99 /Month
  • Get 10 units per month
  • Download Article/Chapter or eBook
  • 1 Unit = 1 Article or 1 Chapter
  • Cancel anytime
Subscribe now

Buy Now

Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Similar content being viewed by others

References

  1. Aczél, J.: On weighted mean values. Bulletin of the American Math. Society 54, 392–400 (1948)

    Article  MATH  Google Scholar 

  2. Artzner, P., Delbaen, F., Eber, J.-M., Heath, D.: Thinking coherently. Risk 10, 68–71 (1997)

    Google Scholar 

  3. Artzner, P., Delbaen, F., Eber, J.-M., Heath, D.: Coherent measures of risk. Mathematical Finance 9, 203–228 (1999)

    Article  MathSciNet  MATH  Google Scholar 

  4. Jorion, P.: Value-a- Risk: The New Benchmark for Managing Financial Risk, 3rd edn. McGraw-Hill, New York (2006)

    Google Scholar 

  5. Rockafellar, R.T., Uryasev, S.P.: Optimization of conditional value-at-risk. Journal of Risk 2, 21–42 (2000)

    Google Scholar 

  6. Rockafellar, R.T., Uryasev, S.P., Zabarankin, M.: Generalized deviations in risk analysis. J. Finance and Stochastics 10, 51–74 (2006)

    Article  MathSciNet  MATH  Google Scholar 

  7. Tasche, D.: Expected shortfall and beyond. Journal of Banking Finance 26, 1519–1533 (2002)

    Article  Google Scholar 

  8. Torra, V.: The weighted OWA operator. Int. J. of Intel. Syst. 12, 153–166 (1997)

    Article  MATH  Google Scholar 

  9. Torra, V., Narukawa, Y.: Modeling Decisions. Springer, Heidelberg (2007)

    MATH  Google Scholar 

  10. Yoshida, Y.: A dynamic risk allocation of value-at-risks with portfolioss. Journal of Advanced Computational Intelligence and Intelligent Informatics 16, 800–806 (2012)

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Faculty of Economics and Business Administration, University of Kitakyushu, 4-2-1 Kitagata, Kokuraminami, Kitakyushu, 802-8577, Japan

    Yuji Yoshida

Authors
  1. Yuji Yoshida
    View author publications

    You can also search for this author in PubMed Google Scholar

Editor information

Editors and Affiliations

  1. CSIC, Consejo Superior de Investigaciones Cientificas, 08193, Bellaterra, Spain

    Vicenç Torra

  2. Toho Gakuen, 186-0004, Tokyo, Japan

    Yasuo Narukawa

  3. Faculty of Engineering, Information and Systems, University of Tsukuba, 305-8573, Tsukuba, Ibaraki, Japan

    Yasunori Endo

Rights and permissions

Reprints and permissions

Copyright information

© 2014 Springer International Publishing Switzerland

About this paper

Cite this paper

Yoshida, Y. (2014). Aggregation of Dynamic Risk Measures in Financial Management. In: Torra, V., Narukawa, Y., Endo, Y. (eds) Modeling Decisions for Artificial Intelligence. MDAI 2014. Lecture Notes in Computer Science(), vol 8825. Springer, Cham. https://doi.org/10.1007/978-3-319-12054-6_4

Download citation

  • DOI: https://doi.org/10.1007/978-3-319-12054-6_4

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-12053-9

  • Online ISBN: 978-3-319-12054-6

  • eBook Packages: Computer ScienceComputer Science (R0)

Publish with us

Policies and ethics