Vector-valued coherent risk measures

Elyès Jouini (), Moncef Meddeb () and Nizar Touzi ()

Finance and Stochastics, 2004, vol. 8, issue 4, 552 pages

Abstract: We define (d,n)-coherent risk measures as set-valued maps from $L^\infty_d$ into $\mathbb{R}^n$ satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner et al. [2]. We then discuss the aggregation issue, i.e., the passage from $\mathbb{R}^d-$ valued random portfolio to $\mathbb{R}^n-$ valued measure of risk. Necessary and sufficient conditions of coherent aggregation are provided. Copyright Springer-Verlag Berlin/Heidelberg 2004

Keywords: Coherent risk measures; liquidity risk; risk aggregation (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (114)

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Working Paper: Vector-valued Coherent Risk Measures (2004)
Working Paper: Vector-valued Coherent Risk Measures (2004)
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DOI: 10.1007/s00780-004-0127-6

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