A comparison of techniques for dynamic multivariate risk measures

Zachary Feinstein, Birgit Rudloff

Publication: Chapter in book/Conference proceedingChapter in edited volume

Abstract

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.
Original languageEnglish
Title of host publicationSet Optimization and Applications in Finance - The State of the Art
Editors A.H. Hamel, F. Heyde, A. Löhne, B. Rudloff, C. Schrage
Place of PublicationBerlin Heidelberg
PublisherSpringer
Pages3 - 41
ISBN (Print)978-3-662-48668-9
Publication statusPublished - 2015

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