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Generalized vector risk functions

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorBalbás, Alejandro
dc.contributor.authorJiménez Guerra, Pedro
dc.date.accessioned2007-01-11T15:42:23Z
dc.date.available2007-01-11T15:42:23Z
dc.date.issued2006-12
dc.description.abstractThe paper introduces a new notion of vector-valued risk function. Both deviations and expectation bounded coherent risk measures are defined and analyzed. The relationships with both scalar and vector risk functions of previous literature are discussed, and it is pointed out that this new approach seems to appropriately integrate several preceding point of view. The framework of the study is the general setting of Banach lattices and Bochner integrable vector-valued random variables. Sub-gradient linked representation theorems, as well as portfolio choice problems, are also addressed, and general optimization methods are presented. Finally, practical examples are provided.
dc.format.extent662558 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.repecwb066721
dc.identifier.urihttps://hdl.handle.net/10016/514
dc.language.isoeng
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working Papers. Bussiness Economics
dc.relation.ispartofseries2006-21
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.titleGeneralized vector risk functions
dc.typeworking paper*
dspace.entity.typePublication
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