Vector-valued coherent risk measures
نویسندگان
چکیده
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 of coherent aggregation are provided.
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 8 شماره
صفحات -
تاریخ انتشار 2004