کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9551446 | 1373219 | 2005 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A generalized coherent risk measure: The firm's perspective
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This note extends the concept of a coherent risk measure to make it more consistent with a firm's capital budgeting perspective. A coherent risk measure defines the risk of a portfolio to be that amount of cash that must be added to the portfolio such that it becomes acceptable to a regulator. As such, a coherent risk measure implicitly assumes that the firm has already made its capital budgeting decision. Except for a cash infusion, the portfolio composition remains unchanged. We propose a generalized version of a coherent risk measure that also allows the portfolio composition to change as well. Once the investment decisions are fixed, our measure collapses to a coherent risk measure.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 2, Issue 1, March 2005, Pages 23-29
Journal: Finance Research Letters - Volume 2, Issue 1, March 2005, Pages 23-29
نویسندگان
Robert A. Jarrow, Amiyatosh K. Purnanandam,