oaioai:CiteSeerX.psu:10.1.1.592.9365

Vector-valued risk measure processes

Abstract

Introduced by Artzner, Delbaen, Eber and Heath (1998) the axiomatic charac-terization of a static coherent risk measure was extended by Jouini, Meddeb and Touzi (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 in a continuous-time framework. Particular attention is devoted to the choice of a convenient risk space. We provide dual characterization results and examples of vector valued risk measure processes. Key words vector-valued risk measure, coherent risk measure, dynamic risk measure, dual representation, transaction costs, partial orde

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oaioai:CiteSeerX.psu:10.1.1.592.9365Last time updated on 10/29/2017

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