Duality for set-valued measures of risk

Abstract

Extending the approach of Jouini, Meddeb, and Touzi [Finance Stoch., 8 (2004), pp. 531-552] we define set-valued (convex) measures of risk and their acceptance sets, and we give dual representation theorems. A scalarization concept is introduced that has a meaning in terms of internal prices of portfolios of reference instruments. Using primal and dual descriptions, we introduce new examples for set-valued measures of risk, e.g., set-valued upper expectations, value at risk, average value at risk, and entropic risk measure. © 2010 Society for Industrial and Applied Mathematics.