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A Supermartingale Relation for Multivariate Risk Measures

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

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dc.contributor.authorFeinstein, Zacharyen_US
dc.contributor.authorRudloff, Birgiten_US
dc.date.accessioned2020-02-21T18:36:34Z-
dc.date.available2020-02-21T18:36:34Z-
dc.identifier.citationFeinstein, Zachary, Rudloff, Birgit. (A Supermartingale Relation for Multivariate Risk Measuresen_US
dc.identifier.urihttp://arks.princeton.edu/ark:/88435/pr1bz0s-
dc.description.abstractThe equivalence between multiportfolio time consistency of a dynamic multivariate risk measure and a supermartingale property is proven. Furthermore, the dual variables under which this set-valued supermartingale is a martingale are characterized as the worst-case dual variables in the dual representation of the risk measure. Examples of multivariate risk measures satisfying the supermartingale property are given. Crucial for obtaining the results are dual representations of scalarizations of set-valued dynamic risk measures, which are of independent interest in the fast growing literature on multivariate risks.en_US
dc.titleA Supermartingale Relation for Multivariate Risk Measuresen_US
dc.typeJournal Article-
pu.type.symplectichttp://www.symplectic.co.uk/publications/atom-terms/1.0/journal-articleen_US

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