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二次交替容度的AVaR的表示定理

, PP. 23-29

Keywords: AVaR,分位数函数,表示定理,二次交替容度

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Abstract:

从分位数函数的角度出发,首先定义了金融头寸在容度空间下的\,VaR\,和\,AVaR.然后综合运用\,Choquet\,积分的性质以及概率测度空间下\,AVaR\,的结果,建立了基于二次交替容度的\,AVaR\,的表示定理.进一步得到了基于二次交替容度的\,AVaR\,为一致性风险度量,推广了经典的结果.

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