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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. 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