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Vector-valued coherent risk measures
We define (d,n)-coherent risk measures as set-valued maps from L (exponential infinity) (subscript n) into R (exponential n) satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner et al. We then discuss the aggregation is...
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Published in: | Finance and stochastics 2004-11, Vol.8 (4), p.531-552 |
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Main Authors: | , , |
Format: | Article |
Language: | English |
Subjects: | |
Citations: | Items that cite this one |
Online Access: | Get full text |
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Summary: | We define (d,n)-coherent risk measures as set-valued maps from L (exponential infinity) (subscript n) into R (exponential n) satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner et al. We then discuss the aggregation issue, i.e., the passage R (exponential d) from valued random portfolio to R (exponential n) valued measure of risk. Necessary and sufficient conditions of coherent aggregation are provided. [PUBLICATION ABSTRACT] |
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ISSN: | 0949-2984 1432-1122 |
DOI: | 10.1007/s00780-004-0127-6 |