A comparison of techniques for dynamic multivariate risk measures

Zachary Feinstein, Birgit Rudloff

Publikation: Beitrag in Buch/KonferenzbandBeitrag in Sammelwerk


This paper contains an overview of results for dynamic multivariate risk measures. We provide the main results of four different approaches. We will prove under which assumptions results within these approaches coincide, and how properties like primal and dual representation and time consistency in the different approaches compare to each other.
Titel des SammelwerksSet Optimization and Applications in Finance - The State of the Art
Herausgeber*innen A.H. Hamel, F. Heyde, A. Löhne, B. Rudloff, C. Schrage
ErscheinungsortBerlin Heidelberg
Seiten3 - 41
ISBN (Print)978-3-662-48668-9
PublikationsstatusVeröffentlicht - 2015