Vector-valued Coherent Risk Measures

Abstract : 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
keyword : risk measures
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Journal articles
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https://halshs.archives-ouvertes.fr/halshs-00167154
Contributor : Elyès Jouini <>
Submitted on : Monday, October 1, 2007 - 11:18:59 AM
Last modification on : Thursday, February 7, 2019 - 3:13:01 PM
Long-term archiving on : Monday, June 27, 2011 - 4:45:45 PM

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Elyès Jouini, Moncef Meddeb, Nizar Touzi. Vector-valued Coherent Risk Measures. Finance and Stochastics, Springer Verlag (Germany), 2004, 8, pp.531-552. ⟨halshs-00167154⟩

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