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Multivariate risks and depth-trimmed regions

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  • Ignacio Cascos
  • Ilya Molchanov

Abstract

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Suggested Citation

  • Ignacio Cascos & Ilya Molchanov, 2007. "Multivariate risks and depth-trimmed regions," Finance and Stochastics, Springer, vol. 11(3), pages 373-397, July.
    • Handle: RePEc:spr:finsto:v:11:y:2007:i:3:p:373-397
    DOI: 10.1007/s00780-007-0043-7
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    References listed on IDEAS

    as
    1. Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
    2. Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July.
    3. Cascos Fernández, Ignacio, 2007. "Depth functions based on a number of observations of a random vector," DES - Working Papers. Statistics and Econometrics. WS ws072907, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Bauerle, Nicole & Muller, Alfred, 2006. "Stochastic orders and risk measures: Consistency and bounds," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 132-148, February.
    5. Stefan Jaschke & Uwe Küchler, 2001. "Coherent risk measures and good-deal bounds," Finance and Stochastics, Springer, vol. 5(2), pages 181-200.
    6. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Acceptance set; Cone; Depth-trimmed region; Multivariate risk; Risk measure; 91B30; 91B82; 60D05; 62H99; C60; C61;
    All these keywords.

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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