Multivariate risk measures in the non-convex setting

Haier Andreas () and Molchanov Ilya ()
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Haier Andreas: University of Bern, Bern, Switzerland
Molchanov Ilya: Institute of Mathematical Statistics and Actuarial Science, University of Bern, Bern, Switzerland

Statistics & Risk Modeling, 2019, vol. 36, issue 1-4, 25-35

Abstract: The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g., in case of fixed transaction costs or when only a finite number of transfers are possible. The paper presents an approach to measure risks of such positions based on the idea of considering all selections of the portfolio and checking if one of them is acceptable. Properties and basic examples of risk measures of non-convex portfolios are presented.

Keywords: Fixed transaction costs; multivariate risk measure; set-valued risk; selection; random set (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1515/strm-2019-0002

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