Vector-valued Coherent Risk Measures

Touzi, Nizar; Meddeb, Moncef; Jouini, Elyès

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 publié

External document link

http://halshs.archives-ouvertes.fr/halshs-00167154/en/

Date

2004

Journal name

Finance and Stochastics

Volume

Number

Publisher

Springer

Pages

531-552

Abstract (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 provided

Subjects / Keywords

Risk Aggregation; Liquidity Risk; Risk Measures

JEL

D81 - Criteria for Decision-Making under Risk and Uncertainty
G31 - Capital Budgeting; Fixed Investment and Inventory Studies; Capacity