| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1151952 | Statistics & Probability Letters | 2014 | 7 Pages |
Abstract
In this paper, we propose a framework of risk measures for portfolio vectors, which is an extension of the ones introduced by Burgert and Rüschendorf (2006) and Rüschendorf (2013). Representation results for coherent and convex risk measures for portfolio vectors are provided. Applications to the multi-period risk measures are also given.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Linxiao Wei, Yijun Hu,