论文信息 - Coherent and convex risk measures for portfolios with applications

Coherent and convex risk measures for portfolios with applications

In this paper, we propose a framework of risk measures for portfolio vectors, which is an extension of the ones introduced by Burgert and Ruschendorf (2006) and Ruschendorf (2013). Representation results for coherent and convex risk measures for portfolio vectors are provided. Applications to the multi-period risk measures are also given.

Yijun Hu | Linxiao Wei

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