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Set-valued risk measures for conical market models

Set-valued risk measures on $L^p_d$ with $0 \leq p \leq \infty$ 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.
Year of publication:
2010-11
Authors: Hamel, Andreas H. ; Heyde, Frank ; Rudloff, Birgit
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
Language: English
Notes:
Published in Mathematics and Financial Economics 5 (1), 1 - 28, (2011)
Source:
Persistent link: https://www.econbiz.de/10008756171
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