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Duality for set-valued measures of risk (2010)
by
Andreas H. Hamel
,
Frank Heyde
| Venue: | SIAM Journal on Financial Mathematics |
| Citations: | 22 - 6 self |
BibTeX
@ARTICLE{Hamel10dualityfor,
author = {Andreas H. Hamel and Frank Heyde},
title = {Duality for set-valued measures of risk},
journal = {SIAM Journal on Financial Mathematics},
year = {2010}
}
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Abstract
Extending the approach of Jouini et al. we define set–valued (convex) measures of risk and its acceptance sets. Using a new duality theory for set–valued convex functions we give dual representation theorems. A scalarization concept is introduced that has economical meaning in terms of 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 expectations, Value at Risk, Average Value at Risk and entropic risk measure.
