A supermartingale relation for multivariate risk measures

DOI10.1080/14697688.2018.1459810zbMath1406.91410arXiv1510.05561OpenAlexW2964213230WikidataQ129709230 ScholiaQ129709230MaRDI QIDQ4619535

Zachary Feinstein, Birgit Rudloff

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.05561

zbMATH Keywords

transaction coststime consistencydynamic risk measuresset-valued risk measuresmultivariate risksset-valued supermartingale

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items

Set-valued dynamic risk measures for processes and for vectors, Scalar Multivariate Risk Measures with a Single Eligible Asset, SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES, Dynamic systemic risk measures for bounded discrete time processes, Set-valued risk measures as backward stochastic difference inclusions and equations, Time consistency for scalar multivariate risk measures

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