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Set-valued average value at risk and its computation

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  • Andreas H. Hamel
  • Birgit Rudloff
  • Mihaela Yankova

Abstract

New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case. The first "regulator" version is independent from any market model whereas the second version, called the market extension, takes trading opportunities into account. Essential properties of both versions are proven and an algorithmic approach is provided which admits to compute the values of both version over finite probability spaces. Several examples illustrate various features of the theoretical constructions.

Suggested Citation

  • Andreas H. Hamel & Birgit Rudloff & Mihaela Yankova, 2012. "Set-valued average value at risk and its computation," Papers 1202.5702, arXiv.org, revised Jan 2013.
  • Handle: RePEc:arx:papers:1202.5702
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    File URL: http://arxiv.org/pdf/1202.5702
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    7. Rüschendorf Ludger, 2006. "Law invariant convex risk measures for portfolio vectors," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-12, July.
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    9. repec:dau:papers:123456789/353 is not listed on IDEAS
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