Multivariate coherent risk measures induced by multivariate convex risk measures

DOI10.1007/S11117-019-00703-2zbMATH Open1443.91100OpenAlexW2971775372MaRDI QIDQ2188367FDOQ2188367

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

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zbMATH Keywords

convex risk measurecoherent risk measureproduct spacemultivariate risk measurerepresentation result

Mathematics Subject Classification ID

Risk models (general) (91B05)

Cites Work

• Coherent measures of risk
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• Title not available (Why is that?)
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• Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
• Stochastic finance. An introduction in discrete time.
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• Consistent risk measures for portfolio vectors
• Law invariant risk measures on \(L^\infty(\mathbb R^d)\)
• Set-valued average value at risk and its computation
• Multivariate risks and depth-trimmed regions
• Multivariate risk measures: a constructive approach based on selections
• Coherent and convex risk measures for portfolios with applications
• Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices
• Coherent and convex loss-based risk measures for portfolio vectors
• Measuring risk with multiple eligible assets
• Set-valued risk statistics with scenario analysis
• On coherent risk measures induced by convex risk measures

Cited In (2)

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

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