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Spectral risk measures and uncertainty

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  • Mohammed Berkhouch
  • Ghizlane Lakhnati
  • Marcelo Brutti Righi

Abstract

Risk assessment under different possible scenarios is a source of uncertainty that may lead to concerning financial losses. We address this issue, first, by adapting a robust framework to the class of spectral risk measures. Second, we propose a Deviation-based approach to quantify uncertainty. Furthermore, the theory is illustrated with a practical case study from NASDAQ index.

Suggested Citation

  • Mohammed Berkhouch & Ghizlane Lakhnati & Marcelo Brutti Righi, 2019. "Spectral risk measures and uncertainty," Papers 1905.07716, arXiv.org.
    • Handle: RePEc:arx:papers:1905.07716
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    File URL: http://arxiv.org/pdf/1905.07716
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    Cited by:

    1. Wei Wang & Huifu Xu, 2023. "Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making," Computational Management Science, Springer, vol. 20(1), pages 1-51, December.

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