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Set-valued risk measures for conical market models

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  • 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.

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  • 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
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    Cited by:

    1. Giuseppe Benedetti & Luciano Campi, 2011. "Multivariate utility maximization with proportional transaction costs and random endowment," Working Papers hal-00586377, HAL.

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