Quotation Hamel, Andreas, Rudloff, Birgit, Yankova, Mihaela. 2013. Set-valued average value at risk and its computation. Math Finan Econ 7 (2): S. 229-246.


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Abstract

New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case. The first ’regulator’ version is independent from any market model whereas the second version, called the market extension, takes trading opportunities into account. Essential properties of both versions are proven and an algorithmic approach is provided which admits to compute the values of both versions over finite probability spaces. Several examples illustrate various features of the theoretical constructions.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Mathematics and Financial Economics
Language English
Title Set-valued average value at risk and its computation
Volume 7
Number 2
Year 2013
Page from 229
Page to 246
Reviewed? Y
URL http://link.springer.com/article/10.1007%2Fs11579-013-0094-9
DOI http://dx.doi.org/10.1007/s11579-013-0094-9

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Rudloff, Birgit (Details)
External
Hamel, Andreas (Free University of Bolzano, Italy)
Yankova, Mihaela (Barclays Capital, United States/USA)
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