Set-valued dynamic risk measures for processes and for vectors

DOI10.1007/s00780-022-00476-9zbMath1494.91179arXiv2103.00905OpenAlexW3135333152WikidataQ114228727 ScholiaQ114228727MaRDI QIDQ2153523

Yan-Hong Chen, Zachary Feinstein

Publication date: 5 July 2022

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.00905

zbMATH Keywords

dynamic risk measuretime-consistencyset-valued risk measureoptional filtration

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Multi-portfolio time consistency for set-valued convex and coherent risk measures
• Representation of the penalty term of dynamic concave utilities
• Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
• A duality theory for set-valued functions. I: Fenchel conjugation theory
• Dynamic monetary risk measures for bounded discrete-time processes
• Dynamic risk measures: Time consistency and risk measures from BMO martingales
• Time consistent dynamic risk processes
• Convex measures of risk and trading constraints
• Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
• Vector-valued coherent risk measures
• Set-valued risk measures for conical market models
• Time consistency for scalar multivariate risk measures
• Dual representations for systemic risk measures
• Coherent multiperiod risk adjusted values and Bellman's principle
• Coherent and convex monetary risk measures for bounded càdlàg processes
• Dynamic coherent risk measures
• Coherent and convex monetary risk measures for unbounded càdlàg processes.
• Coherent Measures of Risk
• Set Optimization—A Rather Short Introduction
• COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
• SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Measures of Systemic Risk
• A supermartingale relation for multivariate risk measures
• VECTOR-VALUED COHERENT RISK MEASURE PROCESSES
• Time consistency of dynamic risk measures in markets with transaction costs
• Theory of Random Sets

This page was built for publication: Set-valued dynamic risk measures for processes and for vectors