My bibliography  Save this paper

# Set-valued risk measures for conical market models

## Author

Listed:
• Andreas H. Hamel
• Frank Heyde
• Birgit Rudloff

## Abstract

Set-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.

## Suggested Citation

• Andreas H. Hamel & Frank Heyde & Birgit Rudloff, 2010. "Set-valued risk measures for conical market models," Papers 1011.5986, arXiv.org.
• Handle: RePEc:arx:papers:1011.5986
as

File URL: http://arxiv.org/pdf/1011.5986

### NEP fields

This paper has been announced in the following NEP Reports:

## Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1011.5986. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

We have no references for this item. You can help adding them by using this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.