Vector-valued Coherent Risk Measures
Touzi, Nizar; Meddeb, Moncef; Jouini, Elyès (2004), Vector-valued Coherent Risk Measures, Finance and Stochastics, 8, 4, p. 531-552. http://dx.doi.org/10.1007/s00780-004-0127-6
Type
Article accepté pour publication ou publiéExternal document link
http://halshs.archives-ouvertes.fr/halshs-00167154/en/Date
2004Journal name
Finance and StochasticsVolume
8Number
4Publisher
Springer
Pages
531-552
Publication identifier
Metadata
Show full item recordAbstract (EN)
We define a coherent risk measures as set-valued maps satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner, Delbaen, Eber and Heath (1998). We then discuss the aggregation issue, i.e. the passage from valued random portofolio to valued measure of Risk. Necessary and sufficient conditions of coherent aggregation are providedSubjects / Keywords
Risk Aggregation; Liquidity Risk; Risk MeasuresRelated items
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