Multi-asset return risk measures
The authors extend the concept of return risk measures (RRMs) by incorporating risk management via multiple eligible assets. The resulting new class of risk measures, termed multi-asset return risk measures (MARRMs), introduces a novel economic model for multiplicative risk sharing. The connection between MARRMs and the well-known concept of multi-asset risk measures (MARMs) is pointed out. The authors analyze theoretical properties of MARRMs. In particular, they prove that a positively homogeneous MARRM is quasi-convex if and only if it is convex, and they provide conditions to avoid inconsistent risk evaluations. Finally, the representation of MARRMs via MARMs is used to obtain various dual representations.
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