Vector-valued coherent risk measures

DOI10.1007/S00780-004-0127-6zbMATH Open1063.91048OpenAlexW1967696650WikidataQ29014406 ScholiaQ29014406MaRDI QIDQ1776019FDOQ1776019

Authors: Elyès Jouini, Moncef Meddeb, Nizar Touzi 

Publication date: 20 May 2005

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-00167154/file/37-jmt.pdf

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zbMATH Keywords

liquidity riskrisk aggregation

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30)

Cited In (95)

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• The expected convex hull trimmed regions of a sample
• Consistent risk measures for portfolio vectors
• Set-valued Haezendonck-Goovaerts risk measure and its properties
• Complete duality for quasiconvex and convex set-valued functions
• Multivariate geometric expectiles
• Cash subadditive risk measures for portfolio vectors
• Multivariate reinsurance designs for minimizing an insurer's capital requirement
• On a capital allocation by minimization of some risk indicators
• Minimum average value-at-risk for finite horizon semi-Markov decision processes in continuous time
• Stein's lemma for truncated elliptical random vectors
• A duality theory for set-valued functions. I: Fenchel conjugation theory
• Qualitative robustness of set-valued value-at-risk
• Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices
• Multivariate risk measures: a constructive approach based on selections
• SET-VALUED CASH SUB-ADDITIVE RISK MEASURES
• Coherent risk measure on \(L^0\): NA condition, pricing and dual representation
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• Set-valued dynamic risk measures for bounded discrete-time processes
• Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
• Multivariate Shortfall Risk Allocation and Systemic Risk
• Multidimensional dynamic risk measure via conditional \(g\)-expectation
• On multivariate extensions of value-at-risk
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• Bivariate lower and upper orthant value-at-risk
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• A directional multivariate value at risk
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• Lagrange duality in set optimization
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• Set-valued dynamic risk measures for processes and for vectors
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• Set-valued loss-based risk measures
• Vector risk functions
• A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
• Coherent and convex loss-based risk measures for portfolio vectors
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• Liquidity, risk measures, and concentration of measure
• Measures of systemic risk
• Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
• Risk excess measures induced by hemi-metrics
• A cost-effective approach to portfolio construction with range-based risk measures
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• Insurance demand and welfare-maximizing risk capital -- some hints for the regulator in the case of exponential preferences and exponential claims
• Multi-utility representations of incomplete preferences induced by set-valued risk measures
• Set-valued risk measures as backward stochastic difference inclusions and equations
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• Editorial
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• Surplus-invariant, law-invariant, and conic acceptance sets must be the sets induced by value at risk
• Existence of solutions for polyhedral convex set optimization problems
• On risk evaluation and control of distributed multi-agent systems
• Short communication: on the separability of vector-valued risk measures
• Risk Measures for Portfolio Vectors and Allocation of Risks
• Scalar multivariate risk measures with a single eligible asset
• Risk measuring under liquidity risk
• Acceptability indexes for portfolio vectors
• Multivariate coherent risk measures induced by multivariate convex risk measures
• A continuous selection for optimal portfolios under convex risk measures does not always exist
• Editorial. Choosing sets: preface to the special issue on set optimization and applications
• On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications
• On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation
• A consistent estimator to the orthant-based tail value-at-risk

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