Vector-valued coherent risk measures
From MaRDI portal
Publication:1776019
DOI10.1007/s00780-004-0127-6zbMath1063.91048WikidataQ29014406 ScholiaQ29014406MaRDI QIDQ1776019
Elyès Jouini, Nizar Touzi, Moncef Meddeb
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
46E30: Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.)
Related Items
Scalar representation and conjugation of set-valued functions, Estimation of multivariate conditional-tail-expectation using Kendall's process, MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION, Complete duality for quasiconvex and convex set-valued functions, On a capital allocation by minimization of some risk indicators, Vector-valued tail value-at-risk and capital allocation, Set-valued average value at risk and its computation, On multivariate extensions of value-at-risk, Essential supremum with respect to a random partial order, Tail risk of multivariate regular variation, Multi-portfolio time consistency for set-valued convex and coherent risk measures, Bivariate lower and upper orthant value-at-risk, Risk measures with comonotonic subadditivity or convexity on product spaces, Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices, On multivariate extensions of conditional-tail-expectation, Benson type algorithms for linear vector optimization and applications, A duality theory for set-valued functions. I: Fenchel conjugation theory, A directional multivariate value at risk, The expected convex hull trimmed regions of a sample, Multivariate risks and depth-trimmed regions, Vector risk functions, Set-valued risk measures for conical market models, Insurance demand and welfare-maximizing risk capital -- some hints for the regulator in the case of exponential preferences and exponential claims, Lagrange duality in set optimization, On multivariate extensions of the conditional value-at-risk measure, Estimating covariate functions associated to multivariate risks: a level set approach, Coherent and convex risk measures for portfolios with applications, Consistent risk measures for portfolio vectors, Multivariate reinsurance designs for minimizing an insurer's capital requirement, A Comparison of Techniques for Dynamic Multivariate Risk Measures, Set Optimization—A Rather Short Introduction, MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS, Minimum Average Value-at-Risk for Finite Horizon Semi-Markov Decision Processes in Continuous Time, Risk Measures for Portfolio Vectors and Allocation of Risks
