Scalar Multivariate Risk Measures with a Single Eligible Asset

DOI10.1287/moor.2021.1153zbMath1489.91313arXiv1807.10694OpenAlexW3201077402MaRDI QIDQ5085121

Birgit Rudloff, Zachary Feinstein

Publication date: 27 June 2022

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.10694

zbMATH Keywords

scalarizationtime consistencydynamic risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Set-valued functions (26E25) Duality theory for topological vector spaces (46A20) Risk models (general) (91B05)

Related Items (1)

Time consistency for scalar multivariate risk measures

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