SET-VALUED CASH SUB-ADDITIVE RISK MEASURES

DOI10.1017/S0269964818000141MaRDI QIDQ5056614zbMATH OpenOpenAlexWikidataFDO

Authors Fei Sun, Yijun Hu

Publication date 8 December 2022

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964818000141

zbMATH Keywords

cash additivecash sub-additivedynamicrisk measureset-valued

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Recommendations

• Multivariate dynamic cash sub-additive risk measures for processes
• Time consistency of dynamic cash subadditive risk measures for portfolios
• Cash subadditive risk measures for portfolio vectors
• Cash subadditive risk measures and interest rate ambiguity
• Multi-portfolio time consistency for set-valued convex and coherent risk measures

Cites work

• A comparison of techniques for dynamic multivariate risk measures
• A duality theory for set-valued functions. I: Fenchel conjugation theory
• Cash subadditive risk measures and interest rate ambiguity
• Coherent measures of risk
• Composition of time-consistent dynamic monetary risk measures in discrete time
• Convex measures of risk and trading constraints
• Duality for set-valued measures of risk
• Loss-based risk measures
• Measuring risk with multiple eligible assets
• Multi-portfolio time consistency for set-valued convex and coherent risk measures
• Multivariate risk measures: a constructive approach based on selections
• Multivariate risks and depth-trimmed regions
• Representations of set-valued risk measures defined on the l-tensor product of Banach lattices
• RISK MEASURES: RATIONALITY AND DIVERSIFICATION
• RUIN PROBABILITY UNDER COMPOUND POISSON MODELS WITH RANDOM DISCOUNT FACTOR
• Set-valued average value at risk and its computation
• Set-valued loss-based risk measures
• Set-valued risk measures for conical market models
• Set-valued shortfall and divergence risk measures
• Time consistency of dynamic risk measures in markets with transaction costs
• Vector-valued coherent risk measure processes
• Vector-valued coherent risk measures

Cited in

(7)

• Cash subadditive risk measures for portfolio vectors
• Cash subadditive risk measures and interest rate ambiguity
• Beyond cash-additive risk measures: when changing the numéraire fails
• Time consistency of dynamic cash subadditive risk measures for portfolios
• Multivariate dynamic cash sub-additive risk measures for processes
• Set-valued star-shaped risk measures
• Regulator-based risk statistics for portfolios

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