A comparison of techniques for dynamic multivariate risk measures

Zachary Feinstein, Birgit Rudloff

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

17 Scopus citations

Abstract

This paper contains an overview of results for dynamic multivariate risk measures. We provide the main results of four different approaches. We will prove under which assumptions results within these approaches coincide, and how properties like primal and dual representation and time consistency in the different approaches compare to each other.

Original languageEnglish
Title of host publicationSpringer Proceedings in Mathematics and Statistics
Pages3-41
Number of pages39
DOIs
StatePublished - 2015

Publication series

NameSpringer Proceedings in Mathematics and Statistics
Volume151
ISSN (Print)2194-1009
ISSN (Electronic)2194-1017

Keywords

  • Dynamic risk measures
  • Multivariate risk
  • Set-valued risk measures
  • Transaction costs

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