منابع مشابه
Vector-valued coherent risk measures
We define (d, n)−coherent risk measures as set-valued maps from Ld into IR 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 IR−valued random portfolio to IR−valued measure of risk. Necessary and sufficient conditions o...
متن کاملDraft: Coherent Risk Measures
Part of the course was devoted to an analysis of Value at Risk and its relation to quantiles. A detailed discussion of this can be found in two papers by Artzner, Delbaen, Eber and Heath, ADEH1 and ADEH2. It will not be repeated here. We will rather concentrate on the mathematics behind the concept of coherent risk measures. They were introduced in the two mentioned papers and the mathematical ...
متن کاملCoherent Measures of Risk
In this paper we study both market risks and non-market risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties “coherent”. We examine the measures of risk provided and the related actions required by SPAN, by the SEC/NASD rules...
متن کاملDynamic coherent risk measures
Banks and regulatory agencies use monetary measures of risk to assess the risk taken by financial investors; important examples are given by the so–called Value at Risk and the class of Coherent Risk Measures. The existing risk measures are of a static, one period nature. In practice, however, portfolios consist, of course, of a variety of different assets and derivatives with distinct maturiti...
متن کاملVector Valued Measures of Bounded Mean Oscillation
The duality between Hl and BMO, the space of functions of bounded mean oscillation (see [JN]), was first proved by C. Fefferman (see [F], [FS]) and then other proofs of it were obtained . Using the atomic decomposition approach ([C], [L]) the author studied the problem of characterizing the dual space of Hl of vector-valued functions . In [B2] the author showed, for the case SZ = {Iz1 = 1}, tha...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2002
ISSN: 1556-5068
DOI: 10.2139/ssrn.1007184