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Set-valued average value at risk and its computation

Author(s): Hamel, Andreas H.; Rudloff, Birgit; Yankova, Mihaela

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Abstract: New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case. The first ’regulator’ version is independent from any market model whereas the second version, called the market extension, takes trading opportunities into account. Essential properties of both versions are proven and an algorithmic approach is provided which admits to compute the values of both version over finite probability spaces. Several examples illustrate various features of the theoretical constructions.
Publication Date: Mar-2013
Electronic Publication Date: 23-Jan-2013
Citation: Hamel, Andreas H, Rudloff, Birgit, Yankova, Mihaela. (2013). Set-valued average value at risk and its computation. Mathematics and Financial Economics, 7 (2), 229 - 246. doi:10.1007/s11579-013-0094-9
DOI: doi:10.1007/s11579-013-0094-9
ISSN: 1862-9679
EISSN: 1862-9660
Pages: 229 - 246
Type of Material: Journal Article
Journal/Proceeding Title: Mathematics and Financial Economics
Version: Author's manuscript

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