Measuring risk with multiple eligible assets

DOI10.1007/s11579-014-0118-0zbMath1310.91077arXiv1308.3331OpenAlexW3124118240MaRDI QIDQ2018547

Walter Farkas, Cosimo Munari, Pablo Koch-Medina

Publication date: 24 March 2015

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.3331

zbMATH Keywords

risk measuresset-valued risk measuresacceptance setsdual representationsmultiple eligible assets

Mathematics Subject Classification ID

Related Items (30)

Dual representations for systemic risk measures based on acceptance sets ⋮ Optimal payoffs for directionally closed acceptance sets ⋮ SET-VALUED CASH SUB-ADDITIVE RISK MEASURES ⋮ Time consistency for set-valued dynamic risk measures for bounded discrete-time processes ⋮ Strongly consistent multivariate conditional risk measures ⋮ Combining multi-asset and intrinsic risk measures ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ Set-valued loss-based risk measures ⋮ Set-valued risk statistics with scenario analysis ⋮ Model spaces for risk measures ⋮ Multivariate coherent risk measures induced by multivariate convex risk measures ⋮ An analytical study of norms and Banach spaces induced by the entropic value-at-risk ⋮ Minkowski deviation measures ⋮ Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint ⋮ Short Communication: Are Shortfall Systemic Risk Measures One Dimensional? ⋮ SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES ⋮ A supermartingale relation for multivariate risk measures ⋮ 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 ⋮ Risk sharing for capital requirements with multidimensional security markets ⋮ Multi-utility representations of incomplete preferences induced by set-valued risk measures ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ Acceptability indexes for portfolio vectors ⋮ Dual representations for systemic risk measures ⋮ A continuous selection for optimal portfolios under convex risk measures does not always exist ⋮ MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS ⋮ Time consistency for scalar multivariate risk measures ⋮ Regulator-based risk statistics for portfolios ⋮ Systemic risk statistics with scenario analysis

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