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Article Dans Une Revue International Journal of Theoretical and Applied Finance Année : 2014

VECTOR-VALUED COHERENT RISK MEASURE PROCESSES

Imen Ben Tahar
  • Fonction : Auteur

Résumé

Introduced by Artzner, Delbaen, Eber and Heath (1998) the axiomatic characterization of a static coherent risk measure was extended by Jouini, Meddeb and Touzi (2004) in a multi-dimensional setting to the concept of vector-valued risk measures. In this paper, we propose a dynamic version of the vector-valued risk measures in a continuous-time framework. Particular attention is devoted to the choice of a convenient risk space. We provide dual characterization results and examples of vector valued risk measure processes.
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Dates et versions

hal-00713021 , version 1 (28-06-2012)

Identifiants

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Imen Ben Tahar, Emmanuel Lépinette. VECTOR-VALUED COHERENT RISK MEASURE PROCESSES. International Journal of Theoretical and Applied Finance, 2014, 17 (02), pp.1450011. ⟨10.1142/S0219024914500113⟩. ⟨hal-00713021⟩
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