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An introduction to multivariate and dynamic risk measures

Author

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  • Arthur Charpentier

    (X-DEP-ECO - Département d'Économie de l'École Polytechnique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris)

Abstract

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  • Arthur Charpentier, 2018. "An introduction to multivariate and dynamic risk measures," Working Papers hal-01831481, HAL.
    • Handle: RePEc:hal:wpaper:hal-01831481
    Note: View the original document on HAL open archive server: https://hal.science/hal-01831481v1
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    References listed on IDEAS

    as
    1. Puccetti, Giovanni & Scarsini, Marco, 2010. "Multivariate comonotonicity," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 291-304, January.
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    3. Jocelyne Bion-Nadal, 2008. "Dynamic risk measures: Time consistency and risk measures from BMO martingales," Finance and Stochastics, Springer, vol. 12(2), pages 219-244, April.
    4. Daniel Kahneman & Amos Tversky, 2013. "Prospect Theory: An Analysis of Decision Under Risk," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 6, pages 99-127, World Scientific Publishing Co. Pte. Ltd..
    5. Alexander Schied, 2004. "On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals," Papers math/0407127, arXiv.org.
    6. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
    7. Gerard Debreu, 1959. "Topological Methods in Cardinal Utility Theory," Cowles Foundation Discussion Papers 76, Cowles Foundation for Research in Economics, Yale University.
    8. Alfred Galichon, 2010. "The Var at Risk," Post-Print hal-03588292, HAL.
    9. Gilboa,Itzhak, 2009. "Theory of Decision under Uncertainty," Cambridge Books, Cambridge University Press, number 9780521741231, January.
    10. Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
    11. Detlefsen, Kai & Scandolo, Giacomo, 2005. "Conditional and dynamic convex risk measures," SFB 649 Discussion Papers 2005-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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    13. Kai Detlefsen & Giacomo Scandolo, 2005. "Conditional and dynamic convex risk measures," Finance and Stochastics, Springer, vol. 9(4), pages 539-561, October.
    14. Stefan Weber, 2006. "Distribution‐Invariant Risk Measures, Information, And Dynamic Consistency," Mathematical Finance, Wiley Blackwell, vol. 16(2), pages 419-441, April.
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    18. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
    19. Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-847, July.
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    Cited by:

    1. Beirlant, J. & Buitendag, S. & del Barrio, E. & Hallin, M. & Kamper, F., 2020. "Center-outward quantiles and the measurement of multivariate risk," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 79-100.

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