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Vector-Valued Coherent Risk Measure Processes



    (CEREMADE, CNRS UMR 7534, Paris Dauphine University, France)



    (CEREMADE, CNRS UMR 7534, Paris Dauphine University, France; International Laboratory of Quantitative Finance, National Research University, Higher school of Economics, Myasnitskaya 20, Moscow 101000, Russia)

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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Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.

Volume (Year): 17 (2014)
Issue (Month): 02 ()
Pages: 1450011-1-1450011-28

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Handle: RePEc:wsi:ijtafx:v:17:y:2014:i:02:p:1450011-1-1450011-28
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