A comparison of techniques for dynamic multivariate risk measures
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Publication:2805752
DOI10.1007/978-3-662-48670-2_1zbMATH Open1339.49015arXiv1305.2151OpenAlexW1579021254MaRDI QIDQ2805752FDOQ2805752
Authors: Zachary Feinstein, Birgit Rudloff 
Publication date: 13 May 2016
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1305.2151
Recommendations
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)
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