Multivariate coherent risk measures induced by multivariate convex risk measures

DOI10.1007/S11117-019-00703-2MaRDI QIDQ2188367zbMATH OpenOpenAlexFDO

Authors Yanhong Chen, Yijun Hu

Publication date 10 June 2020

Published in Positivity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11117-019-00703-2

zbMATH Keywords

convex risk measurecoherent risk measureproduct spacemultivariate risk measurerepresentation result

Mathematics Subject Classification ID

Risk models (general) (91B05)

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Cites work

• scientific article; zbMATH DE number 1807400 (Why is no real title available?)
• scientific article; zbMATH DE number 477581 (Why is no real title available?)
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• Consistent risk measures for portfolio vectors
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• Entropic risk measures: coherence vs. convexity, model ambiguity and robust large deviations
• Law invariant risk measures on \(L^\infty(\mathbb R^d)\)
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• Multivariate risk measures: a constructive approach based on selections
• Multivariate risks and depth-trimmed regions
• On coherent risk measures induced by convex risk measures
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• Vector-valued coherent risk measures

Cited in

(2)

• On coherent risk measures induced by convex risk measures
• Multidimensional Coherent and Convex Risk Measures

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