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Start Over Author "Zachary Feinstein" Publisher springer berlin heidelberg
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1. A Comparison of Techniques for Dynamic Multivariate Risk Measures

Author

Birgit Rudloff and Zachary Feinstein

Subjects
Transaction cost, 010104 statistics & probability, Multivariate statistics, Mathematical optimization, 050208 finance, Time consistency, 0502 economics and business, 05 social sciences, Econometrics, Dual representation, 0101 mathematics, 01 natural sciences, Mathematics
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.

Published
2015
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