Vector-valued coherent risk measures View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2004-11

AUTHORS

Elyés Jouini, Moncef Meddeb, Nizar Touzi

ABSTRACT

We define (d,n)-coherent risk measures as set-valued maps from into satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner et al. [2]. We then discuss the aggregation issue, i.e., the passage from valued random portfolio to valued measure of risk. Necessary and sufficient conditions of coherent aggregation are provided. More... »

PAGES

531-552

References to SciGraph publications

  • 2002. Coherent Risk Measures on General Probability Spaces in ADVANCES IN FINANCE AND STOCHASTICS
  • 1999-02. Hedging and liquidation under transaction costs in currency markets in FINANCE AND STOCHASTICS
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/s00780-004-0127-6

    DOI

    http://dx.doi.org/10.1007/s00780-004-0127-6

    DIMENSIONS

    https://app.dimensions.ai/details/publication/pub.1044827328


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