We investigate risk averse agents who manage risk by trading financial securities in a market that we call a risk … market. We assume this market is perfectly competitive and complete. When risk aversion is expressed using risk measures, the … probability distributions defines a novel template for equilibria under uncertainty and, more specifically, equilibria under risk …

Introduced by Artzner, Delbaen, Eber and Heath (1998) the axiomatic characterization of a static coherent risk measure … was extended by Jouini, Meddeb and Touzi (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 …