IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1305.2151.html
   My bibliography  Save this paper

A comparison of techniques for dynamic multivariate risk measures

Author

Listed:
  • Zachary Feinstein
  • Birgit Rudloff

Abstract

This paper contains an overview of results for dynamic multivariate risk measures. We provide the main results of four different approaches. We will prove under which assumptions results within these approaches coincide, and how properties like primal and dual representation and time consistency in the different approaches compare to each other.

Suggested Citation

  • Zachary Feinstein & Birgit Rudloff, 2013. "A comparison of techniques for dynamic multivariate risk measures," Papers 1305.2151, arXiv.org, revised Jan 2015.
  • Handle: RePEc:arx:papers:1305.2151
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1305.2151
    File Function: Latest version
    Download Restriction: no

    References listed on IDEAS

    as
    1. Marco Frittelli & Giacomo Scandolo, 2006. "Risk Measures And Capital Requirements For Processes," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 589-612, October.
    2. Riedel, Frank, 2004. "Dynamic coherent risk measures," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 185-200, August.
    3. Andrzej Ruszczyński & Alexander Shapiro, 2006. "Conditional Risk Mappings," Mathematics of Operations Research, INFORMS, vol. 31(3), pages 544-561, August.
    4. repec:dau:papers:123456789/5630 is not listed on IDEAS
    5. repec:crs:wpaper:9513 is not listed on IDEAS
    6. Elyès Jouini & Hedi Kallal, 1995. "Martingale and Arbitrage in securities markets with transaction cost," Post-Print halshs-00167138, HAL.
    7. Zachary Feinstein & Birgit Rudloff, 2013. "Time consistency of dynamic risk measures in markets with transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 13(9), pages 1473-1489, September.
    8. Ignacio Cascos & Ilya Molchanov, 2007. "Multivariate risks and depth-trimmed regions," Finance and Stochastics, Springer, vol. 11(3), pages 373-397, July.
    9. Bernard Bensaid & Jean‐Philippe Lesne & Henri Pagès & José Scheinkman, 1992. "Derivative Asset Pricing With Transaction Costs1," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 63-86, April.
    10. Patrick Cheridito & Michael Kupper, 2011. "Composition Of Time-Consistent Dynamic Monetary Risk Measures In Discrete Time," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(01), pages 137-162.
    11. 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.
    12. Perrakis, Stylianos & Lefoll, Jean, 1997. "Derivative Asset Pricing with Transaction Costs: An Extension," Computational Economics, Springer;Society for Computational Economics, vol. 10(4), pages 359-376, November.
    13. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    14. Imen Bentahar, 2006. "Tail Conditional Expectation for vector-valued Risks," SFB 649 Discussion Papers SFB649DP2006-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    15. Yuri Kabanov, 2009. "Markets with Transaction Costs. Mathematical Theory," Post-Print hal-00488168, HAL.
    16. Kai Detlefsen & Giacomo Scandolo, 2005. "Conditional and dynamic convex risk measures," Finance and Stochastics, Springer, vol. 9(4), pages 539-561, October.
    17. Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
    18. Kai Detlefsen & Giacomo Scandolo, 2005. "Conditional and Dynamic Convex Risk Measures," SFB 649 Discussion Papers SFB649DP2005-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    19. repec:dau:papers:123456789/13268 is not listed on IDEAS
    20. Boyle, Phelim P & Vorst, Ton, 1992. "Option Replication in Discrete Time with Transaction Costs," Journal of Finance, American Finance Association, vol. 47(1), pages 271-293, March.
    21. Burgert, Christian & Ruschendorf, Ludger, 2006. "Consistent risk measures for portfolio vectors," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 289-297, April.
    22. Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June.
    23. 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)

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    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:1305.2151. 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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.