Quotation Hamel, Andreas, Heyde, Frank, Rudloff, Birgit. 2011. Set-valued risk measures for conical market models. Math Finan Econ 5 (1): S. 1-28.




Set-valued risk measures on L^p_d with 0 ≤ p ≤ ∞ for conical market models are defined, primal and dual representation results are given. The collection of initial endowments which allow to super-hedge a multivariate claim are shown to form the values of a set-valued sublinear (coherent) risk measure. Scalar risk measures with multiple eligible assets also turn out to be a special case within the set-valued framework.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Mathematics and Financial Economics
Citation Index SCI
WU-Journal-Rating new FIN-A, VW-D
Language English
Title Set-valued risk measures for conical market models
Volume 5
Number 1
Year 2011
Page from 1
Page to 28
Reviewed? Y
URL http://link.springer.com/article/10.1007%2Fs11579-011-0047-0
DOI http://dx.doi.org/10.1007/s11579-011-0047-0


Rudloff, Birgit (Details)
Hamel, Andreas (Free University of Bolzano, Italy)
Heyde, Frank (Technische Universit├Ąt Bergakademie Freiberg, Germany)
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