Law invariant convex risk measures for portfolio vectors

Rüschendorf Ludger

Statistics & Risk Modeling, 2006, vol. 24, issue 1, 97-108

Abstract: The class of all lawinvariant, convex risk measures for portfolio vectors is characterized. The building blocks of this class are shown to be formed by the maximal correlation risk measures. We further introduce some classes of multivariate distortion risk measures and relate them to multivariate quantile functionals and to an extension of the average value at risk measure.

Keywords: risk measures; portfolio vector; distortion; average value at risk (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:24:y:2006:i:1:p:97-108:n:6

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DOI: 10.1524/stnd.2006.24.1.97

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