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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorBen Tahar, Imen
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorLépinette, Emmanuel
dc.date.accessioned2018-01-15T09:31:09Z
dc.date.available2018-01-15T09:31:09Z
dc.date.issued2014
dc.identifier.issn0219-0249
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17324
dc.language.isoenen
dc.subjectVector-valued risk measureen
dc.subjectcoherent risk measureen
dc.subjectdynamic risk measureen
dc.subjectdual representationen
dc.subjecttransaction costsen
dc.subjectpartial orderen
dc.subject.ddc519en
dc.subject.classificationjelG.G1.G13en
dc.subject.classificationjelG.G1.G11en
dc.titleVector-valued coherent risk measure processesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIntroduced 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. Particular attention is devoted to the choice of a convenient risk space. We provide dual characterization results and examples of vector valued risk measure processes.en
dc.relation.isversionofjnlnameInternational Journal of Theoretical and Applied Finance
dc.relation.isversionofjnlvol17en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2014-04
dc.relation.isversionofdoi10.1142/S0219024914500113en
dc.relation.isversionofjnlpublisherWorld Scientificen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2018-01-15T09:25:21Z
hal.author.functionaut
hal.author.functionaut


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