Coherent and convex risk measures for portfolios with applications

Linxiao Wei and Yijun Hu

Statistics & Probability Letters, 2014, vol. 90, issue C, 114-120

Abstract: In this paper, we propose a framework of risk measures for portfolio vectors, which is an extension of the ones introduced by Burgert and Rüschendorf (2006) and Rüschendorf (2013). Representation results for coherent and convex risk measures for portfolio vectors are provided. Applications to the multi-period risk measures are also given.

Keywords: Coherent risk measure; Convex risk measure; Risk measures for portfolio vectors; Multi-period risk measure; Product space (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spl.2014.03.005

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