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A \\textit{selection} of a set-valued portfolio \\(X\\) is a random vector \\(\\xi\\) which satisfies \\(\\xi \\in X\\) almost surely. A function \\(\\rho\\) mapping set-valued portfolios to upper convex sets is a \\textit{set-valued coherent risk measure} if {\\parindent=0.7cmNEWLINE\\begin{itemize}\\item[--] \\(\\rho(X+a) = \\rho(X) - a\\)\\quad (\\(a \\in \\mathbb{R}\\));NEWLINE\\item[--] if \\(X \\subseteq Y\\) almost surely then \\(\\rho(X) \\subseteq \\rho(Y)\\);NEWLINE\\item[--] \\(\\rho(c \\cdot X) = c\\cdot \\rho(X)\\)\\quad \\((c >0)\\);NEWLINE\\item[--] \\(\\rho(X+Y) \\supseteq \\rho(X) + \\rho(Y)\\). NEWLINENEWLINE\\end{itemize}}NEWLINEA set-valued portfolio \\(X\\) is called \\textit{acceptable} if \\(0 \\in \\rho(X)\\). For a random vector \\(Z = (\\zeta_{i})_{i=1, \\dots, d} \\in \\mathbb{R}^d\\), \\(Z \\cdot X\\) is the set-valued portfolio obtained from \\(X\\) by scaling its \\(i\\)th coordinate by \\(\\zeta_{i}\\) (\\(i=1, \\dots, d\\)).NEWLINENEWLINELet \\(\\{r_{i} : i=1, \\dots, d\\}\\) be (real-valued) coherent risk measures. For a random vector \\(\\xi = (\\xi_{1},\\dots,\\xi_{d}) \\in \\mathbb{R}^d\\), set \\(r(\\xi) = (r_{1}(\\xi_{1}),\\dots,r_{d}(\\xi_{d}))\\). Then \\(\\xi\\) is \\textit{acceptable} if \\(r(\\xi) \\leq 0\\); and a set-valued portfolio \\(X\\) is \\textit{selection acceptable} if it has an acceptable selection. The authors study in detail \\textit{selection risk measures}, defined as NEWLINE\\[NEWLINE\\rho(X) = \\{x \\in \\mathbb{R}^d : X+x \\text{ is selection acceptable}\\}.NEWLINE\\]NEWLINE The approximation and computation of selection risk measures is also discussed in the special case when \\(X\\) follows a bivariate normal distribution.NEWLINENEWLINEFor every nonempty set \\(\\mathcal{Z}\\) of nonnegative \\(q\\)-integrable random vectors \\(Z \\in \\mathbb{R}^d\\), a set-valued coherent risk measures can be defined as NEWLINE\\[NEWLINE\\rho_{\\mathcal{Z}}(X) = \\bigcap_{Z\\in \\mathcal{Z}} \\frac{\\mathbb{E}[\\hat X Z]}{\\mathbb{E}[Z]},NEWLINE\\]NEWLINE where \\(\\mathbb{E}[\\hat X Z]\\) is the closure of the set \\(\\{\\mathbb{E}[\\xi] : \\xi \\text{ is an integrable selection of } Z \\cdot X\\}\\). The authors also obtain that every set-valued coherent risk measure satisfying some continuity property can be obtained in this form.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2831005$3AD9A337-16EE-4114-8C70-7537E5F86A7B","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"f90841066c0eea3979703fe8132637ed0fffebc1","datavalue":{"value":{"entity-type":"item","numeric-id":375849,"id":"Q375849"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2831005$D6036151-F6AF-4C75-8B5B-B6B575821308","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"0a9729dcfd19b7d1011ea4497e572d0d30d6266e","datavalue":{"value":{"entity-type":"item","numeric-id":2453932,"id":"Q2453932"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"bb71e00d3f164e812d42d87589fdd2b23687b94a","datavalue":{"value":{"amount":"+0.85007643699646","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2831005$08312114-E2DC-41D4-8973-A525D29E012C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"11ed8ac2c8ce7a888c6505f76243d68007766578","datavalue":{"value":{"entity-type":"item","numeric-id":1938960,"id":"Q1938960"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"f0781a654e685ad1126f41b7e413ab276707c9ed","datavalue":{"value":{"amount":"+0.8202059864997864","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2831005$4AA652B7-113B-4984-9960-F175E994F362","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"20b29df585dca9d44c0d41faae8eeb8940c837e2","datavalue":{"value":{"entity-type":"item","numeric-id":1776019,"id":"Q1776019"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"0efd79ccf2c05ecbf640b4badd1bb7e1cecd1c8f","datavalue":{"value":{"amount":"+0.815453290939331","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2831005$EE8F89D2-F6A5-4C82-A094-D17997905C51","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"ddab9943d137bdb05459d093c94e918ec165ce9a","datavalue":{"value":{"entity-type":"item","numeric-id":3402360,"id":"Q3402360"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"f3c3e4ed278fff788405e53cec74384eff011f9a","datavalue":{"value":{"amount":"+0.8124867081642151","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2831005$06C34EF6-C6B5-42B4-9724-2EAB2F97F9CB","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"4f65506a78fb8424a2419c293c99e983d32f5ad7","datavalue":{"value":{"entity-type":"item","numeric-id":1746035,"id":"Q1746035"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"c82fdbf4b3c1a77390c2060b695d54fb545ee29f","datavalue":{"value":{"amount":"+0.8122207522392273","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2831005$D0B8A324-E122-41F6-B922-9ED71DF50218","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:2831005","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:2831005"}}}}}