Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8904451 | Acta Mathematica Scientia | 2018 | 16 Pages |
Abstract
In this paper, from the viewpoint of the time value of money, we study the risk measures for portfolio vectors with discount factor. Cash subadditive risk measures for portfolio vectors are proposed. Representation results are given by two different methods which are convex analysis and enlarging space. Especially, the method of convex analysis make the line of reasoning and the representation result be simpler. Meanwhile, spot and forward risk measures for portfolio vectors are also introduced, and the relationships between them are investigated.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Hongwei LIU, Yijun HU, Linxiao WEI,