Set-valued risk measures for conical market models

Details Set-valued risk measures for conical market models Set-valued risk measures for conical market models

2010-11-27

arxiv.org/abs/1011.5986v1

Economy

Quantitative Finance

Risk Management

Scientific paper

Set-valued risk measures on $L^p_d$ with $0 \leq p \leq \infty$ for conical market models are defined, primal and dual representation results are given. The collection of initial endowments which allow to super-hedge a multivariate claim are shown to form the values of a set-valued sublinear (coherent) risk measure. Scalar risk measures with multiple eligible assets also turn out to be a special case within the set-valued framework.

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