A Comparison of Techniques for Dynamic Multivariate Risk Measures

DOI10.1007/978-3-662-48670-2_1zbMath1339.49015arXiv1305.2151OpenAlexW1579021254MaRDI QIDQ2805752

Birgit Rudloff, Zachary Feinstein

Publication date: 13 May 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.2151

zbMATH Keywords

transaction costsdynamic risk measuresset-valued risk measuresset-optimizationmultivariate risk

Mathematics Subject Classification ID

Related Items (16)

SET-VALUED CASH SUB-ADDITIVE RISK MEASURES ⋮ Time consistency for set-valued dynamic risk measures for bounded discrete-time processes ⋮ A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle ⋮ A Vectorization Scheme for Nonconvex Set Optimization Problems ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES ⋮ SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES ⋮ A supermartingale relation for multivariate risk measures ⋮ SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES ⋮ The value functions approach and Hopf-Lax formula for multiobjective costs via set optimization ⋮ Set-valued risk measures as backward stochastic difference inclusions and equations ⋮ Risk arbitrage and hedging to acceptability under transaction costs ⋮ A new concept of slope for set-valued maps and applications in set optimization studied with Kuroiwa's set approach ⋮ Time consistency for scalar multivariate risk measures ⋮ Conditional Systemic Risk Measures ⋮ MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES

Uses Software

• BENSOLVE

Cites Work

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