, Volume 5, Issue 1, pp 1-28
Date: 02 Jun 2011

Set-valued risk measures for conical market models

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Abstract

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.