Vector-Valued Coherent Risk Measure Processes
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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|Date of creation:||2014|
|Date of revision:|
|Publication status:||Published in International Journal of Theoretical and Applied Finance, 2014, Vol. 17, no. 2|
|Contact details of provider:|| Web page: http://www.dauphine.fr/en/welcome.html|
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