Coherent and convex risk measures for portfolios with applications

In this paper, we propose a framework of risk measures for portfolio vectors, which is an extension of the ones introduced by Burgert and Rüschendorf (2006) and Rüschendorf (2013). Representation results for coherent and convex risk measures for portfolio vectors are provided. Applications to the multi-period risk measures are also given.

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Year of publication:	2014
Authors:	Wei, Linxiao ; Hu, Yijun
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 90.2014, C, p. 114-120
Publisher:	Elsevier
Subject:	Coherent risk measure \| Convex risk measure \| Risk measures for portfolio vectors \| Multi-period risk measure \| Product space

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039958