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Vector-valued coherent risk measure processes

Ben Tahar, Imen; Lépinette, Emmanuel (2014), Vector-valued coherent risk measure processes, International Journal of Theoretical and Applied Finance, 17, 2. 10.1142/S0219024914500113

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Type
Article accepté pour publication ou publié
Date
2014
Journal name
International Journal of Theoretical and Applied Finance
Volume
17
Number
2
Publisher
World Scientific
Publication identifier
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Author(s)
Ben Tahar, Imen
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Lépinette, Emmanuel
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Abstract (EN)
Introduced by Artzner, Delbaen, Eber and Heath (1998) the axiomatic characterization of a static coherent risk measure was extended by Jouini, Meddeb and Touzi (2004) in a multi-dimensional setting to the concept of vector-valued risk measures. In this paper, we propose a dynamic version of the vector-valued risk measures in a continuous-time framework. Particular attention is devoted to the choice of a convenient risk space. We provide dual characterization results and examples of vector valued risk measure processes.
Subjects / Keywords
Vector-valued risk measure; coherent risk measure; dynamic risk measure; dual representation; transaction costs; partial order
JEL
G13 - Contingent Pricing; Futures Pricing
G11 - Portfolio Choice; Investment Decisions