A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
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Publication:2397431
DOI10.1007/S10898-016-0459-8zbMATH Open1414.91183arXiv1508.02367OpenAlexW2252390983MaRDI QIDQ2397431FDOQ2397431
Authors: Zachary Feinstein, Birgit Rudloff 
Publication date: 22 May 2017
Published in: Journal of Global Optimization (Search for Journal in Brave)
Abstract: A method for calculating multi-portfolio time consistent multivariate risk measures in discrete time is presented. Market models for assets with transaction costs or illiquidity and possible trading constraints are considered on a finite probability space. The set of capital requirements at each time and state is calculated recursively backwards in time along the event tree. We motivate why the proposed procedure can be seen as a set-valued Bellman's principle, that might be of independent interest within the growing field of set optimization. We give conditions under which the backwards calculation of the sets reduces to solving a sequence of linear, respectively convex vector optimization problems. Numerical examples are given and include superhedging under illiquidity, the set-valued entropic risk measure, and the multi-portfolio time consistent version of the relaxed worst case risk measure and of the set-valued average value at risk.
Full work available at URL: https://arxiv.org/abs/1508.02367
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dynamic programmingtransaction costsvector optimizationBellman's principledynamic risk measuresset-valued risk measures
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Cited In (20)
- Recursive methods for a multi-dimensional risk process with common shocks
- Multivariate tail conditional expectation for elliptical distributions
- Geometric Duality Results and Approximation Algorithms for Convex Vector Optimization Problems
- Time Consistency of the Mean-Risk Problem
- Convergence analysis of a norm minimization-based convex vector optimization algorithm
- Computing the recession cone of a convex upper image via convex projection
- Set-valued risk measures as backward stochastic difference inclusions and equations
- A new coherent multivariate average-value-at-risk
- Scalar Multivariate Risk Measures with a Single Eligible Asset
- Stein's lemma for truncated elliptical random vectors
- Deep learning the efficient frontier of convex vector optimization problems
- A norm minimization-based convex vector optimization algorithm
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- Time consistency for scalar multivariate risk measures
- Algorithms to Solve Unbounded Convex Vector Optimization Problems
- A supermartingale relation for multivariate risk measures
- SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES
- Conditional Systemic Risk Measures
- Markov decision processes with risk-sensitive criteria: an overview
- On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation
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