Strongly Consistent Multivariate Conditional Risk Measures

Hannes Hoffmann, Thilo Meyer-Brandis and Gregor Svindland

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Abstract: We consider families of strongly consistent multivariate conditional risk measures. We show that under strong consistency these families admit a decomposition into a conditional aggregation function and a univariate conditional risk measure as introduced Hoffmann et al. (2016). Further, in analogy to the univariate case in F\"ollmer (2014), we prove that under law-invariance strong consistency implies that multivariate conditional risk measures are necessarily multivariate conditional certainty equivalents.

Date: 2016-09
New Economics Papers: this item is included in nep-rmg
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