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dc.contributor.authorTouzi, Nizar
dc.contributor.authorMeddeb, Moncef
dc.contributor.authorJouini, Elyès
dc.date.accessioned2009-06-18T14:43:21Z
dc.date.available2009-06-18T14:43:21Z
dc.date.issued2004
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/353
dc.language.isoenen
dc.subjectRisk Aggregationen
dc.subjectLiquidity Risken
dc.subjectRisk Measuresen
dc.subject.ddc332en
dc.subject.classificationjelD81en
dc.subject.classificationjelG31en
dc.titleVector-valued Coherent Risk Measuresen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversité Paris 1;France
dc.description.abstractenWe 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 provideden
dc.relation.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol8en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2004-11
dc.relation.isversionofjnlpages531-552en
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s00780-004-0127-6en
dc.identifier.urlsitehttp://halshs.archives-ouvertes.fr/halshs-00167154/en/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelEconomie financièreen


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