Vector Risk Functions View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2012-11

AUTHORS

Alejandro Balbás, Raquel Balbás, Pedro Jiménez-Guerra

ABSTRACT

The paper introduces a new notion of vector-valued risk function, a crucial notion in Actuarial and Financial Mathematics. Both deviations and expectation bounded or coherent risk measures are defined and analyzed. The relationships with both scalar and vector risk functions of previous literature are discussed, and it is pointed out that this new approach seems to appropriately integrate several preceding points of view. The framework of the study is the general setting of Banach lattices and Bochner integrable vector-valued random variables. Sub-gradient linked representation theorems and practical examples are provided. More... »

PAGES

563-574

References to SciGraph publications

  • 2004-11. Vector-valued coherent risk measures in FINANCE AND STOCHASTICS
  • 2006-01. Generalized deviations in risk analysis in FINANCE AND STOCHASTICS
  • 2002-10. Convex measures of risk and trading constraints in FINANCE AND STOCHASTICS
  • 2005-10. Optimization of a Long-Short Portfolio under Nonconvex Transaction Cost in COMPUTATIONAL OPTIMIZATION AND APPLICATIONS
  • 2007-07. Multivariate risks and depth-trimmed regions in FINANCE AND STOCHASTICS
  • 2006-09. Optimality conditions in portfolio analysis with general deviation measures in MATHEMATICAL PROGRAMMING
  • 1991. Banach Lattices in NONE
  • 1997-06. Pareto Analysis vis-à-vis Balance Space Approach in Multiobjective Global Optimization in JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
  • 2005-07. Coherent and convex monetary risk measures for unbounded càdlàg processes in FINANCE AND STOCHASTICS
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/s00009-011-0153-5

    DOI

    http://dx.doi.org/10.1007/s00009-011-0153-5

    DIMENSIONS

    https://app.dimensions.ai/details/publication/pub.1019368247


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