Set-valued risk measures for conical market models
Risk Management
2014-05-22 v1
Abstract
Set-valued risk measures on with 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.
Cite
@article{arxiv.1011.5986,
title = {Set-valued risk measures for conical market models},
author = {Andreas H. Hamel and Frank Heyde and Birgit Rudloff},
journal= {arXiv preprint arXiv:1011.5986},
year = {2014}
}