Set-valued average value at risk and its computation

Andreas H. Hamel, Birgit Rudloff and Mihaela Yankova

Papers from arXiv.org

Abstract: New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case. The first "regulator" version is independent from any market model whereas the second version, called the market extension, takes trading opportunities into account. Essential properties of both versions are proven and an algorithmic approach is provided which admits to compute the values of both version over finite probability spaces. Several examples illustrate various features of the theoretical constructions.

Date: 2012-02, Revised 2013-01
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

Published in Mathematics and Financial Economics 7 (2), 229-246, (2013)

Downloads: (external link)
http://arxiv.org/pdf/1202.5702 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1202.5702

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().