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Vector-Valued Coherent Risk Measure Processes

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Author Info

  • Lépinette-Denis, Emmanuel
  • BEN TAHAR, IMEN

Abstract

Introduced by Artzner et al. (1998) the axiomatic characterization of a static coherent risk measure was extended by Jouini et al. (2004) in a multi-dimensional setting to the concept of vector-valued risk measures. In this paper, we propose a dynamic version of the vector-valued risk measures in a continuous-time framework. Particular attention is devoted to the choice of a convenient risk space. We provide dual characterization results, we study different notions of time consistency and we give examples of vector-valued risk measure processes.

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Bibliographic Info

Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/13268.

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Date of creation: 2014
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Publication status: Published in International Journal of Theoretical and Applied Finance, 2014, Vol. 17, no. 2
Handle: RePEc:dau:papers:123456789/13268

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Related research

Keywords: partial order; transaction costs; dual representation; dynamic risk measure; coherent risk measure; Vector-valued risk measure;

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Cited by:
  1. \c{C}a\u{g}\in Ararat & Andreas H. Hamel & Birgit Rudloff, 2014. "Set-valued shortfall and divergence risk measures," Papers 1405.4905, arXiv.org.
  2. Zachary Feinstein & Birgit Rudloff, 2013. "A comparison of techniques for dynamic multivariate risk measures," Papers 1305.2151, arXiv.org, revised Oct 2013.
  3. Zachary Feinstein & Birgit Rudloff, 2012. "Multi-portfolio time consistency for set-valued convex and coherent risk measures," Papers 1212.5563, arXiv.org, revised May 2014.

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