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A comparison of techniques for dynamic multivariate risk measures

Author(s): Feinstein, Zachary; Rudloff, Birgit

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Abstract: This paper contains an overview of results for dynamic multivariate risk measures. We provide the main results of four different approaches. We will prove under which assumptions results within these approaches coincide, and how properties like primal and dual representation and time consistency in the different approaches compare to each other.
Publication Date: 9-May-2013
Citation: Feinstein, Zachary, Rudloff, Birgit. (2013). A comparison of techniques for dynamic multivariate risk measures. Springer PROMS series, 151 (3), 978 - 3
Pages: 1 - 33
Type of Material: Journal Article
Journal/Proceeding Title: Springer PROMS series
Version: Author's manuscript



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