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Teoriya Veroyatnostei i ee Primeneniya, 2007, Volume 52, Issue 4, Pages 685–710
DOI: https://doi.org/10.4213/tvp1529 (Mi tvp1529) 		 
This article is cited in 11 scientific papers (total in 11 papers)

Multidimensional Coherent and Convex Risk Measures

A. V. Kulikov

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Full-text PDF (2653 kB) Citations (11)
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DOI: https://doi.org/10.4213/tvp1529
Abstract: This paper deals with multidimensional coherent and convex risk measures. The approach described takes into account risks of changing currency exchange rates and transaction costs. Representation theorems for multidimensional risk measures are proved. The important examples of multidimensional coherent risk measures such as tail V@R and weighted V@R are investigated. Two applications of multidimensional coherent risk measures are considered, i.e., application to the capital allocation problem and to the problem of risk contribution.
Keywords: multidimensional coherent and convex risk measures, matrix of currency exchange rates, cone of currency exchange rates, tail V@R, weighted V@R, capital allocation, risk contribution, extreme elements.
Received: 29.03.2007
English version:
Theory of Probability and its Applications, 2008, Volume 52, Issue 4, Pages 614–635
DOI: https://doi.org/10.1137/S0040585X97983262
Bibliographic databases:
Language: Russian
Citation: A. V. Kulikov, “Multidimensional Coherent and Convex Risk Measures”, Teor. Veroyatnost. i Primenen., 52:4 (2007), 685–710; Theory Probab. Appl., 52:4 (2008), 614–635
Citation in format AMSBIB
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    • This publication is cited in the following 11 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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