Feinstein, Zachary, Rudloff, Birgit. 2015. A comparison of techniques for dynamic multivariate risk measures. In: Set Optimization and Applications in Finance - The State of the Art, Hrsg. A.H. Hamel, F. Heyde, A. Löhne, B. Rudloff, C. Schrage, S. 3-41. Berlin Heidelberg: Springer.
BibTeX
Abstract
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.
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| Status of publication | Published |
|---|---|
| Affiliation | WU |
| Type of publication | Chapter in edited volume |
| Language | English |
| Title | A comparison of techniques for dynamic multivariate risk measures |
| Title of whole publication | Set Optimization and Applications in Finance - The State of the Art |
| Editor | A.H. Hamel, F. Heyde, A. Löhne, B. Rudloff, C. Schrage |
| Page from | 3 |
| Page to | 41 |
| Location | Berlin Heidelberg |
| Publisher | Springer |
| Year | 2015 |
| Reviewed? | Y |
| ISBN | 978-3-662-48668-9 |
Associations
- People
- Rudloff, Birgit (Details)
- External
- Feinstein, Zachary (Washington University in St. Louis, United States/USA)
- Organization
- Institute for Statistics and Mathematics IN (Details)