COMONOTONIC MEASURES OF MULTIVARIATE RISKS

DOI10.1111/j.1467-9965.2010.00453.xzbMath1278.91085arXiv2102.04175OpenAlexW3126983993MaRDI QIDQ4906542

Marc Henry, Alfred Galichon, Ivar Ekeland

Publication date: 28 February 2013

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

Full work available at URL: https://arxiv.org/abs/2102.04175

zbMATH Keywords

coherent risk measuresoptimal transportationcomonotonicitymaximal correlationregular risk measuresstrongly coherent risk measures

Mathematics Subject Classification ID

Related Items (38)

Dual representations for systemic risk measures based on acceptance sets ⋮ Vector quantile regression: an optimal transport approach ⋮ Efficient portfolios in financial markets with proportional transaction costs ⋮ Set-valued average value at risk and its computation ⋮ Multivariate shortfall risk statistics with scenario analysis ⋮ Vector quantile regression beyond the specified case ⋮ Worst portfolios for dynamic monetary utility processes ⋮ On multivariate extensions of value-at-risk ⋮ Multivariate coherent risk measures induced by multivariate convex risk measures ⋮ Independent Nonlinear Component Analysis ⋮ Measuring linear correlation between random vectors ⋮ A note on the regularity of optimal-transport-based center-outward distribution and quantile functions ⋮ Dual theory of choice with multivariate risks ⋮ Vector copulas ⋮ Capital allocation with multivariate convex risk measures ⋮ Coupled projects, core imputations, and the CAPM ⋮ Center-outward quantiles and the measurement of multivariate risk ⋮ SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES ⋮ Foreword to the special issue devoted to Professor Ivar Ekeland's 70th birthday ⋮ Pareto efficiency for the concave order and multivariate comonotonicity ⋮ SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES ⋮ Coherent and convex loss-based risk measures for portfolio vectors ⋮ Estimation of multivariate conditional-tail-expectation using Kendall's process ⋮ Worst case portfolio vectors and diversification effects ⋮ Weak comonotonicity ⋮ On Banach spaces of vector-valued random variables and their duals motivated by risk measures ⋮ Semi-parametric estimation of multivariate extreme expectiles ⋮ An algorithm to approximate the optimal expected inner product of two vectors with given marginals ⋮ Local Utility and Multivariate Risk Aversion ⋮ On multivariate extensions of conditional-tail-expectation ⋮ Acceptability indexes for portfolio vectors ⋮ Multidimensional inequalities and generalized quantile functions ⋮ MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS ⋮ Multivariate comonotonicity ⋮ Extreme dependence for multivariate data ⋮ Systemic risk statistics with scenario analysis ⋮ MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES ⋮ Estimating covariate functions associated to multivariate risks: a level set approach

Cites Work

• Minkowski-type theorems and least-squares clustering
• Consistent risk measures for portfolio vectors
• Coherent Measures of Risk
• RISK MEASURES ON ORLICZ HEARTS
• Law invariant convex risk measures for portfolio vectors
• Law invariant risk measures have the Fatou property
• THE VAR AT RISK
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• Functional analysis and infinite-dimensional geometry
• Unnamed Item
• Unnamed Item

This page was built for publication: COMONOTONIC MEASURES OF MULTIVARIATE RISKS