Vector risk functions

DOI10.1007/s00009-011-0153-5zbMath1267.91040OpenAlexW2083719163MaRDI QIDQ1762365

Raquel Balbás, Alejandro Balbas

Publication date: 23 November 2012

Published in: Mediterranean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/18155

zbMATH Keywords

representation theoremdynamic risk measures and other examplesvector risk function

Mathematics Subject Classification ID

Related Items (7)

Cash subadditive risk measures for portfolio vectors ⋮ Vector-valued tail value-at-risk and capital allocation ⋮ A directional multivariate value at risk ⋮ Coherent and convex risk measures for portfolios with applications ⋮ Risk measures with comonotonic subadditivity or convexity on product spaces ⋮ A Comparison of Techniques for Dynamic Multivariate Risk Measures ⋮ Golden options in financial mathematics

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