TAHAR, IMEN BEN; LÉPINETTE, EMMANUEL - In: International Journal of Theoretical and Applied … 17 (2014) 02, pp. 1450011-1
Introduced by Artzner et al. (1998) the axiomatic characterization of a static coherent risk measure was extended by Jouini et al. (2004) in a multi-dimensional setting to the concept of vector-valued risk measures. In this paper, we propose a dynamic version of the vector-valued risk measures...