A comparison of techniques for dynamic multivariate risk measures
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.
Year of publication: |
2013-05
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Authors: | Feinstein, Zachary ; Rudloff, Birgit |
Institutions: | arXiv.org |
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