Vector-valued coherent risk measure processes
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coherent risk measuredual representationdynamic risk measurepartial ordertransaction costsvector-valued risk measure
Recommendations
Cites work
- Coherent and convex monetary risk measures for bounded càdlàg processes
- Coherent multiperiod risk adjusted values and Bellman's principle
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Conditional and dynamic convex risk measures
- Duality for set-valued measures of risk
- Dynamic coherent risk measures
- Dynamic monetary risk measures for bounded discrete-time processes
- Dynamic risk measures
- Dynamic risk measures: Time consistency and risk measures from BMO martingales
- Essential supremum and essential maximum with respect to random preference relations
- Essential supremum with respect to a random partial order
- Hedging of American options under transaction costs
- Monetary valuation of cash flows under Knightian uncertainty
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Risk measures via g-expectations
- Set-valued risk measures for conical market models
- The fundamental theorem of asset pricing under transaction costs
- Time consistent dynamic risk processes
Cited in
(26)- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- Vector risk functions
- Vector-valued coherent risk measures
- Set-valued risk measures as backward stochastic difference inclusions and equations
- Time consistency for scalar multivariate risk measures
- Set-valued dynamic risk measures for processes and for vectors
- Risk measures in ordered normed linear spaces with non-empty cone-interior
- A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
- A comparison of techniques for dynamic multivariate risk measures
- Multivariate risk measures: a constructive approach based on selections
- Value-at-risk and continuous coherent risk measures on L^p-space
- Set-valued dynamic risk measures for bounded discrete-time processes
- Vector-valued tail value-at-risk and capital allocation
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- A consistent estimator to the orthant-based tail value-at-risk
- A supermartingale relation for multivariate risk measures
- On representing and hedging claims for coherent risk measures
- Multi-portfolio time consistency for set-valued convex and coherent risk measures
- Conditional systemic risk measures
- SET-VALUED CASH SUB-ADDITIVE RISK MEASURES
- Coherent risk measure on \(L^0\): NA condition, pricing and dual representation
- Scalar multivariate risk measures with a single eligible asset
- Capital allocation for set-valued risk measures
- Set-valued shortfall and divergence risk measures
- Collective dynamic risk measures
- Short communication: on the separability of vector-valued risk measures
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