Set-valued risk measures on Ldp with 0 ≤ p ≤ ∞ 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. © 2011 Springer-Verlag.
CITATION STYLE
Hamel, A. H., Heyde, F., & Rudloff, B. (2011). Set-valued risk measures for conical market models. Mathematics and Financial Economics, 5(1), 1–28. https://doi.org/10.1007/s11579-011-0047-0
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