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On the Geometry of Acceptability Functionals

Alois Pichler(alois.pichler***at***univie.ac.at)

Abstract: Abstract In this paper we discuss continuity properties of acceptability functionals or risk measures. The dependence of the random variable is investigated first. The main contribution and focus of this paper is to study how acceptability functionals vary whenever the underlying probability measure is perturbed. Abstract It turns out that the Wasserstein distance provides a valuable notion of distance, and may acceptability functionals allow a precise quantification in terms of this distance.

Keywords: Risk Measure, Wasserstein Distance, Optimal Transport

Category 1: Stochastic Programming

Category 2: Other Topics (Dynamic Programming )

Citation: University of Vienna, Universitätsstraße 5 1010 Vienna, Austria

Download: [PDF]

Entry Submitted: 11/24/2011
Entry Accepted: 11/24/2011
Entry Last Modified: 11/24/2011

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