Multivariate coherent risk measures induced by multivariate convex risk measures

DOI10.1007/S11117-019-00703-2zbMath1443.91100OpenAlexW2971775372MaRDI QIDQ2188367

Yan-Hong Chen, Hu, Yijun

Publication date: 10 June 2020

Published in: Positivity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11117-019-00703-2

zbMATH Keywords

product spaceconvex risk measurecoherent risk measuremultivariate risk measurerepresentation result

Mathematics Subject Classification ID

Risk models (general) (91B05)

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