Vector-valued coherent risk measures

DOI10.1007/s00780-004-0127-6zbMath1063.91048OpenAlexW1967696650WikidataQ29014406 ScholiaQ29014406MaRDI QIDQ1776019

Moncef Meddeb, Nizar Touzi, Elyès Jouini

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

zbMATH Keywords

liquidity riskrisk aggregation

Mathematics Subject Classification ID

Related Items (87)

A new coherent multivariate average-value-at-risk ⋮ Set optimization of set-valued risk measures ⋮ Dual representations for systemic risk measures based on acceptance sets ⋮ Complete duality for quasiconvex and convex set-valued functions ⋮ A duality theory for set-valued functions. I: Fenchel conjugation theory ⋮ On a capital allocation by minimization of some risk indicators ⋮ Cash subadditive risk measures for portfolio vectors ⋮ SET-VALUED CASH SUB-ADDITIVE RISK MEASURES ⋮ Stein's lemma for truncated elliptical random vectors ⋮ COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION ⋮ Time consistency for set-valued dynamic risk measures for bounded discrete-time processes ⋮ Set-valued dynamic risk measures for processes and for vectors ⋮ Minimum Average Value-at-Risk for Finite Horizon Semi-Markov Decision Processes in Continuous Time ⋮ Vector-valued tail value-at-risk and capital allocation ⋮ A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle ⋮ Impact of dependence on some multivariate risk indicators ⋮ Set-valued average value at risk and its computation ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ Set-valued loss-based risk measures ⋮ Set-valued risk statistics with scenario analysis ⋮ Conditional risk measures in a bipartite market structure ⋮ Multivariate geometric expectiles ⋮ On multivariate extensions of value-at-risk ⋮ Essential supremum with respect to a random partial order ⋮ Multivariate coherent risk measures induced by multivariate convex risk measures ⋮ A directional multivariate value at risk ⋮ Set-valued risk measures for conical market models ⋮ On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications ⋮ SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES ⋮ A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification ⋮ Robust multicriteria risk-averse stochastic programming models ⋮ Tail risk of multivariate regular variation ⋮ Measures of Systemic Risk ⋮ Capital allocation with multivariate convex risk measures ⋮ Risk measuring under liquidity risk ⋮ A consistent estimator to the orthant-based tail value-at-risk ⋮ SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES ⋮ A supermartingale relation for multivariate risk measures ⋮ Coherent and convex risk measures for portfolios with applications ⋮ Multi-portfolio time consistency for set-valued convex and coherent risk measures ⋮ Bivariate lower and upper orthant value-at-risk ⋮ Multivariate Shortfall Risk Allocation and Systemic Risk ⋮ SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES ⋮ Coherent and convex loss-based risk measures for portfolio vectors ⋮ Multivariate extensions of expectiles risk measures ⋮ Lagrange duality in set optimization ⋮ Risk measures with comonotonic subadditivity or convexity on product spaces ⋮ The expected convex hull trimmed regions of a sample ⋮ Estimation of multivariate conditional-tail-expectation using Kendall's process ⋮ Vector risk functions ⋮ MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION ⋮ Consistent risk measures for portfolio vectors ⋮ Insurance demand and welfare-maximizing risk capital -- some hints for the regulator in the case of exponential preferences and exponential claims ⋮ Set-valued risk measures as backward stochastic difference inclusions and equations ⋮ Multi-utility representations of incomplete preferences induced by set-valued risk measures ⋮ Set-valued Haezendonck-Goovaerts risk measure and its properties ⋮ Risk Measures for Portfolio Vectors and Allocation of Risks ⋮ Multivariate reinsurance designs for minimizing an insurer's capital requirement ⋮ Multivariate risks and depth-trimmed regions ⋮ Editorial ⋮ A Comparison of Techniques for Dynamic Multivariate Risk Measures ⋮ Set Optimization—A Rather Short Introduction ⋮ Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices ⋮ Multivariate tail conditional expectation for elliptical distributions ⋮ Risk excess measures induced by hemi-metrics ⋮ On multivariate extensions of conditional-tail-expectation ⋮ Acceptability indexes for portfolio vectors ⋮ Benson type algorithms for linear vector optimization and applications ⋮ Liquidity, Risk Measures, and Concentration of Measure ⋮ Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk ⋮ Editorial. Choosing sets: preface to the special issue on set optimization and applications ⋮ A continuous selection for optimal portfolios under convex risk measures does not always exist ⋮ Qualitative robustness of set-valued value-at-risk ⋮ CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES ⋮ On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation ⋮ Scalar representation and conjugation of set-valued functions ⋮ MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS ⋮ A cost-effective approach to portfolio construction with range-based risk measures ⋮ Time consistency for scalar multivariate risk measures ⋮ Golden options in financial mathematics ⋮ Regulator-based risk statistics for portfolios ⋮ Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models ⋮ On multivariate extensions of the conditional value-at-risk measure ⋮ Systemic risk statistics with scenario analysis ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation ⋮ MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES ⋮ Estimating covariate functions associated to multivariate risks: a level set approach

This page was built for publication: Vector-valued coherent risk measures