Vector-valued coherent risk measures
type: Item
instance of: scholarly article
title: Vector-valued coherent risk measures
zbMATH Open document ID: 1063.91048
author: Elyès Jouini
author: Moncef Meddeb
author: Nizar Touzi
published in: Finance and Stochastics
publication date: 2005-05-20T00:00:00Z
full work available at URL: 37-jmt.pdf
review text: The authors consider the situation where the risky portfolio is an \(\mathbb R^d\)-valued vector variable. It is assumed that a partial ordering on \(\mathbb R^d\) is given. A specification of this order accounts for some frictions on the financial market such as transaction costs, liquidity problems, irreversible transfers. Given an integer \(n\leq d\), the \((d,n)\)-coherent risk measure consistent with the order is defined as a set-valued map \(R\) from \(L_d^\infty\) into \(\mathbb R^n\) satisfying some convenient axioms. The geometric and topological properties implied by the definition of a vector-valued coherent risk measure are studied. Dual representations of the vector-valued coherent risk measures are provided. The definition of vector-valued coherent risk measures works when \(n<d\), i.e., the risk of a \(\mathbb R^d\)-valued random variable is required to be cancelled by \(\mathbb R^n\) deterministic portfolios. This is related to an aggregation problem. Two alternative methods of aggregation are studied: portfolio and risk aggregation. Necessary and sufficient conditions for the corresponding set-valued map to be a \((d,n)\)-coherent risk measure are established.
reviewed by: Yuliya S. Mishura
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 46E30
zbMATH DE Number: 2169548
zbMATH Keywords: liquidity risk
zbMATH Keywords: risk aggregation
MaRDI profile type: Publication
OpenAlex ID: W1967696650
Wikidata QID: Q29014406
DOI: 10.1007/S00780-004-0127-6
description: scientific article; zbMATH DE number 2169548