Multi-asset return risk measures

DOI10.1017/ASB.2025.10055MaRDI QIDQ6916849zbMATH OpenFDO

Authors Christian Laudagé, Felix-Benedikt Liebrich, Jörn Sass

Publication date 14 October 2025

Published in ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

risk sharingdual representationsmulti-asset risk measureaverage-return-at-riskreturn risk measure

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

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