Law invariant convex risk measures for portfolio vectors
نویسنده
چکیده
The class of all law invariant, convex risk measures for portfolio vectors is characterized. The building blocks of this class are shown to be formed by the maximal correlation risk measures. We introduce some classes of multivariate distortion risk measures and relate them to multivariate quantile functionals and to an extension of the average value at risk measure.
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تاریخ انتشار 2005