Set-valued risk measures for conical market models

Andreas H. Hamel, Frank Heyde and Birgit Rudloff

Papers from arXiv.org

Abstract: Set-valued risk measures on $L^p_d$ with $0 \leq p \leq \infty$ for conical market models are defined, primal and dual representation results are given. The collection of initial endowments which allow to super-hedge a multivariate claim are shown to form the values of a set-valued sublinear (coherent) risk measure. Scalar risk measures with multiple eligible assets also turn out to be a special case within the set-valued framework.

Date: 2010-11
New Economics Papers: this item is included in nep-rmg
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Published in Mathematics and Financial Economics 5 (1), 1 - 28, (2011)

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