A comparison of techniques for dynamic multivariate risk measures

Zachary Feinstein and Birgit Rudloff

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Abstract: This paper contains an overview of results for dynamic multivariate risk measures. We provide the main results of four different approaches. We will prove under which assumptions results within these approaches coincide, and how properties like primal and dual representation and time consistency in the different approaches compare to each other.

Date: 2013-05, Revised 2015-01
New Economics Papers: this item is included in nep-mic, nep-rmg and nep-upt
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Citations: View citations in EconPapers (8)

Published in In: A. Hamel, F. Heyde, A. L{\"o}hne, B. Rudloff, C. Schrage (eds.): Set Optimization and Applications in Finance - The State of the Art, Springer PROMS series, Vol. 151, 3-41, (2015). ISBN: 978-3-662-48668-9

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1305.2151

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