Quotation 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.


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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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Publication's profile

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)
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