Multidimensional Coherent and Convex Risk Measures

DOI10.1137/S0040585X97983262MaRDI QIDQ3605049zbMATH OpenOpenAlexFDO

Authors A. V. Kulikov

Publication date 19 February 2009

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97983262

zbMATH Keywords

capital allocationextreme elementsrisk contributionweighted V{\@}Rcone of currency exchange ratesmatrix of currency exchange ratesmultidimensional coherent and convex risk measurestail V{\@}R

Mathematics Subject Classification ID

Recommendations

• Coherent and convex risk measures for portfolios with applications
• Convex measures of risk and trading constraints
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Coherent and convex loss-based risk measures for portfolio vectors
• Multivariate coherent risk measures induced by multivariate convex risk measures

Cited in

(25)

• Risk measures with comonotonic subadditivity or convexity on product spaces
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Static multidimensional risk measures research
• Comonotonic measures of multivariate risks
• scientific article; zbMATH DE number 5926334 (Why is no real title available?)
• Cash subadditive risk measures for portfolio vectors
• Multi-utility representations of incomplete preferences induced by set-valued risk measures
• scientific article; zbMATH DE number 7266413 (Why is no real title available?)
• A new coherent multivariate average-value-at-risk
• Multivariate risk measures in the non-convex setting
• Multivariate risk measures: a constructive approach based on selections
• Coherent and convex risk measures for portfolios with applications
• Pricing with Coherent Risk
• Multidimensional dynamic risk measure via conditional \(g\)-expectation
• scientific article; zbMATH DE number 2046106 (Why is no real title available?)
• Combining multi-asset and intrinsic risk measures
• Risk tomography
• Pricing based on multidimensional coherent risk measures
• On two approaches to coherent risk contribution
• Multivariate coherent risk measures induced by multivariate convex risk measures
• Convex risk measures for the aggregation of multiple information sources and applications in insurance
• Coherent Risk Measures Derived from Utility Functions
• On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications
• Capital allocation with multivariate convex risk measures
• Coherent and convex loss-based risk measures for portfolio vectors

This page was built for publication: Multidimensional Coherent and Convex Risk Measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3605049)