Synopses & Reviews
Risk has been described in the past by a simple measure, such as the variance, and risk attitude is often considered simply a degree of risk aversion. However, this viewpoint is usually not sufficient.
Synopsis
This book shows that unlike earlier approaches, modern theory incorporates more sophisticated analysis of risk measures and risk attitudes, which are intertwined in such settings as portfolio choice, mitigating credit risk and comparing risky alternatives.
Table of Contents
Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences.- Multivariate Concave and Convex Stochastic Dominance.- Reliable Quantification and Efficient Estimation of Credit Risk.- Diffusion-based models for financial markets without martingale measures.