Set-valued risk measures for conical market models

Andreas Hamel; Frank Heyde; Birgit Rudloff

doi:10.1007/s11579-011-0047-0

Set-valued risk measures for conical market models

Andreas Hamel, Frank Heyde, Birgit Rudloff

Statistics and Mathematics

Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Forschung › Begutachtung

Abstract

Set-valued risk measures on L^p_d with 0 ≤ p ≤ ∞ for conical market models are defined, primal and dual representation results are given. The collection of initial endowments which allow to super-hedge a multivariate claim are shown to form the values of a set-valued sublinear (coherent) risk measure. Scalar risk measures with multiple eligible assets also turn out to be a special case within the set-valued framework.

Originalsprache	Englisch
Seiten (von - bis)	1 - 28
Fachzeitschrift	Mathematics and Financial Economics
Jahrgang	5
Ausgabenummer	1
DOIs	https://doi.org/10.1007/s11579-011-0047-0
Publikationsstatus	Veröffentlicht - 2011

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Zitat

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