VECTOR-VALUED COHERENT RISK MEASURE PROCESSES

DOI10.1142/S0219024914500113zbMath1292.91090MaRDI QIDQ4979884

Imen Bentahar, Emmanuel Lépinette

Publication date: 19 June 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

transaction costspartial orderdynamic risk measurecoherent risk measuredual representationvector-valued risk measure

Mathematics Subject Classification ID

Related Items (17)

SET-VALUED CASH SUB-ADDITIVE RISK MEASURES ⋮ COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION ⋮ Time consistency for set-valued dynamic risk measures for bounded discrete-time processes ⋮ Set-valued dynamic risk measures for processes and for vectors ⋮ Vector-valued tail value-at-risk and capital allocation ⋮ A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES ⋮ A consistent estimator to the orthant-based tail value-at-risk ⋮ A supermartingale relation for multivariate risk measures ⋮ Multi-portfolio time consistency for set-valued convex and coherent risk measures ⋮ SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES ⋮ Set-valued risk measures as backward stochastic difference inclusions and equations ⋮ CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES ⋮ MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS ⋮ Time consistency for scalar multivariate risk measures ⋮ Conditional Systemic Risk Measures

Cites Work

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• MONETARY VALUATION OF CASH FLOWS UNDER KNIGHTIAN UNCERTAINTY
• COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
• Duality for Set-Valued Measures of Risk
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Dynamic Risk Measures

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