Wei, Linxiao; Hu, Yijun - In: Statistics & Probability Letters 90 (2014) C, pp. 114-120
In this paper, we propose a framework of risk measures for portfolio vectors, which is an extension of the ones introduced by Burgert and Rüschendorf (2006) and Rüschendorf (2013). Representation results for coherent and convex risk measures for portfolio vectors are provided. Applications to...