RT Generic
T1 Generalized vector risk functions
A1 Balbás, Alejandro
A1 Jiménez Guerra, Pedro
AB The 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.
YR 2006
FD 2006-12
LK https://hdl.handle.net/10016/514
UL https://hdl.handle.net/10016/514
LA eng
LA eng
DS e-Archivo
RD 1 sept. 2024