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A Comparison of Techniques for Dynamic Multivariate Risk Measures

  • Zachary Feinstein
  • Birgit Rudloff
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 151)

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.

Keywords

Dynamic risk measures Transaction costs Set-valued risk measures Multivariate risk 

Mathematics Subject Classification (2010):

91B30 46N10 26E25 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2015

Authors and Affiliations

  1. 1.Department of Electrical and Systems EngineeringWashington University in St. LouisSt. LouisUSA
  2. 2.Institute for Statistics and MathematicsVienna University of Economics and BusinessViennaAustria

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