Set-valued average value at risk and its computation
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Publication:356482
DOI10.1007/S11579-013-0094-9zbMATH Open1269.91071arXiv1202.5702OpenAlexW2139090564MaRDI QIDQ356482FDOQ356482
Authors: Andreas H. Hamel, Birgit Rudloff, Mihaela Yankova 
Publication date: 25 July 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Abstract: New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case. The first "regulator" version is independent from any market model whereas the second version, called the market extension, takes trading opportunities into account. Essential properties of both versions are proven and an algorithmic approach is provided which admits to compute the values of both version over finite probability spaces. Several examples illustrate various features of the theoretical constructions.
Full work available at URL: https://arxiv.org/abs/1202.5702
Recommendations
transaction costscoherent risk measuresaverage value at riskBenson's algorithmset-valued risk measures
Dynamic programming (90C39) Portfolio theory (91G10) Set-valued functions (26E25) Interest rates, asset pricing, etc. (stochastic models) (91G30) Trade models (91B60)
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Cited In (39)
- Time consistency of dynamic risk measures in markets with transaction costs
- Systemic risk statistics with scenario analysis
- A comparison of techniques for dynamic multivariate risk measures
- Set-valued law invariant coherent and convex risk measures
- Set-valued risk statistics with scenario analysis
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