Hamel, Andreas H.; Heyde, Frank; Rudloff, Birgit - arXiv.org - 2010
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...