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Vector-valued coherent risk measure processes

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BL27_juin2012.pdf (391.1Kb)
Date
2014
Dewey
Probabilités et mathématiques appliquées
Sujet
Vector-valued risk measure; coherent risk measure; dynamic risk measure; dual representation; transaction costs; partial order
JEL code
G.G1.G13; G.G1.G11
Journal issue
International Journal of Theoretical and Applied Finance
Volume
17
Number
2
Publication date
04-2014
Publisher
World Scientific
DOI
http://dx.doi.org/10.1142/S0219024914500113
URI
https://basepub.dauphine.fr/handle/123456789/17324
Collections
  • CEREMADE : Publications
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Author
Ben Tahar, Imen
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Lépinette, Emmanuel
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Type
Article accepté pour publication ou publié
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.

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