Set-valued risk measures for conical market models
AbstractSet-valued risk measures on $L^p_d$ with $0 \leq p \leq \infty$ for conical market models are defined, primal and dual representation results are given. The collection of initial endowments which allow to super-hedge a multivariate claim are shown to form the values of a set-valued sublinear (coherent) risk measure. Scalar risk measures with multiple eligible assets also turn out to be a special case within the set-valued framework.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1011.5986.
Date of creation: Nov 2010
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Web page: http://arxiv.org/
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