MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES

Fei Sun (), Kui Luo and Yu Feng ()
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Fei Sun: School of Mathematics and Computational Science, Wuyi University, Jiangmen 529020, P. R. China
Kui Luo: Industrial Centre, Shenzhen Polytechnic, Shenzhen 518055, P. R. China
Yu Feng: China Merchants Bank Institute, Shenzhen 518000, P. R. China

International Journal of Theoretical and Applied Finance (IJTAF), 2022, vol. 25, issue 04n05, 1-13

Abstract: In this paper, we study a new class of dynamic risk measures for processes. These new risk measures are derived for the portfolio vectors and adapted to a given filtration. By introducing the notion of discount factor, we deeply analyze the property of cash sub-additivity for these risk measures. Furthermore, by expanding the risk position space, we derive the relationship between these new risk measures and the dynamic convex risk measures introduced by Wei & Hu [(2014) Coherent and convex risk measures for portfolios with applications, Statistics & Probability Letters 90, 114–120]. At last, we establish the representation results for them by making full use of the relationship.

Keywords: Dynamic risk measures; processes; multivariate (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1142/S0219024922500200

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