VECTOR-VALUED COHERENT RISK MEASURE PROCESSES

Imen Ben Tahar () and Emmanuel Lépinette ()
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Imen Ben Tahar: CEREMADE, CNRS UMR 7534, Paris Dauphine University, France
Emmanuel Lépinette: CEREMADE, CNRS UMR 7534, Paris Dauphine University, France;

International Journal of Theoretical and Applied Finance (IJTAF), 2014, vol. 17, issue 02, 1-28

Abstract: Introduced by Artzner et al. (1998) the axiomatic characterization of a static coherent risk measure was extended by Jouini et al. (2004) in a multi-dimensional setting to the concept of vector-valued risk measures. In this paper, we propose a dynamic version of the vector-valued risk measures in a continuous-time framework. Particular attention is devoted to the choice of a convenient risk space. We provide dual characterization results, we study different notions of time consistency and we give examples of vector-valued risk measure processes.

Keywords: Vector-valued risk measure; coherent risk measure; dynamic risk measure; dual representation; transaction costs; partial order (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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DOI: 10.1142/S0219024914500113

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