Vector-valued Coherent Risk Measures

Elyès Jouini (), Moncef Meddeb and Nizar Touzi
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Moncef Meddeb: CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Nizar Touzi: CMAP - Centre de Mathématiques Appliquées - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique

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Abstract: We define a coherent risk measures as set-valued maps satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner, Delbaen, Eber and Heath (1998). We then discuss the aggregation issue, i.e. the passage from valued random portofolio to valued measure of Risk. Necessary and sufficient conditions of coherent aggregation are provided

Keywords: risk; measures (search for similar items in EconPapers)
Date: 2004
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00167154v1
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Published in Finance and Stochastics, 2004, 8, pp.531-552

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Related works:
Journal Article: Vector-valued coherent risk measures (2004)
Working Paper: Vector-valued Coherent Risk Measures (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00167154

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