A comparison of techniques for dynamic multivariate risk measures

DOI10.1007/978-3-662-48670-2_1MaRDI QIDQ2805752zbMATH OpenOpenAlexFDO

Authors Zachary Feinstein, Birgit Rudloff

Publication date 13 May 2016

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1305.2151

zbMATH Keywords

transaction costsdynamic risk measuresset-valued risk measuresset-optimizationmultivariate risk

Mathematics Subject Classification ID

Set-valued functions (26E25) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Set-valued and variational analysis (49J53) Stochastic processes (60G99)

Abstract: This paper contains an overview of results for dynamic multivariate risk measures. We provide the main results of four different approaches. We will prove under which assumptions results within these approaches coincide, and how properties like primal and dual representation and time consistency in the different approaches compare to each other.

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Cited in

(20)

• A Vectorization Scheme for Nonconvex Set Optimization Problems
• A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
• A dynamic extension of the Foster-Hart measure of riskiness
• Set-valued law invariant coherent and convex risk measures
• Time consistency for scalar multivariate risk measures
• Set-valued shortfall and divergence risk measures
• Short communication: on the separability of vector-valued risk measures
• SET-VALUED CASH SUB-ADDITIVE RISK MEASURES
• Risk arbitrage and hedging to acceptability under transaction costs
• Set-valued risk measures as backward stochastic difference inclusions and equations
• A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes
• A quantitative comparison of risk measures
• A new concept of slope for set-valued maps and applications in set optimization studied with Kuroiwa's set approach
• Set-valued dynamic risk measures for bounded discrete-time processes
• Multivariate dynamic cash sub-additive risk measures for processes
• Scalar multivariate risk measures with a single eligible asset
• A supermartingale relation for multivariate risk measures
• The value functions approach and Hopf-Lax formula for multiobjective costs via set optimization
• Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
• Conditional systemic risk measures

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