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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 publié
External document link
http://halshs.archives-ouvertes.fr/halshs-00167154/en/
Date
2004
Journal name
Finance and Stochastics
Volume
8
Number
4
Publisher
Springer
Pages
531-552
Publication identifier
http://dx.doi.org/10.1007/s00780-004-0127-6
Metadata
Show full item record
Author(s)
Touzi, Nizar
Meddeb, Moncef
Jouini, Elyès
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

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