Set-valued risk measures for conical market models

By Andreas H. Hamel, Frank Heyde, Birgit Rudloff. 2010

134 citations recorded by the source corpus.

Set-valued risk measures on $${L^p_d}$$ with 0 ≤ p ≤ ∞ for conical market models are defined, primal and dual representation results are given. The collection of initial endowments which allow to super-hedge a multivariate claim are shown to form the values of a set-valued sublinear (coherent) risk measure. Scalar risk measures with multiple eligible assets also turn out to be a special case within the set-valued framework.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/a9316b44263fee9eac828c5705f5ac9d2572767b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Ilya S. Molchanov
2. Ignacio Cascos

In Management Science and Operations Research

1. Ignacio Cascos
2. Ilya S. Molchanov
3. Mathew D. Penrose
4. Scott Ferson
5. Alfred Galichon
6. William Oberkampf
7. Marc Henry
8. Julien Bect

Citations in the corpus

• MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS (2013, methodology): “…(Jouini, Meddeb, and Touzi 2004), by now it is accepted that multiasset risk measures can be naturally considered as taking values in the space of sets, see Ben Tahar and Lepinette (2014), Cascos and Molchanov (2007), Hamel and Heyde (2010), Hamel, Heyde, and Rudloff (2011), Kulikov (2008).”