A comparison of techniques for dynamic multivariate risk measures
Risk Management
2017-01-27 v3
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.
Keywords
Cite
@article{arxiv.1305.2151,
title = {A comparison of techniques for dynamic multivariate risk measures},
author = {Zachary Feinstein and Birgit Rudloff},
journal= {arXiv preprint arXiv:1305.2151},
year = {2017}
}