Set-valued risk measures for conical market models

@article{Hamel2010SetvaluedRM,
  title={Set-valued risk measures for conical market models},
  author={Andreas H. Hamel and F. Heyde and B. Rudloff},
  journal={Mathematics and Financial Economics},
  year={2010},
  volume={5},
  pages={1-28}
}
  • Andreas H. Hamel, F. Heyde, B. Rudloff
  • Published 2010
  • Mathematics, Economics
  • Mathematics and Financial Economics
  • Set-valued risk measures on $${L^p_d}$$ with 0 ≤ p ≤ ∞ for conical market models are defined, primal and dual representation results are given. The collection of initial endowments which allow to super-hedge a multivariate claim are shown to form the values of a set-valued sublinear (coherent) risk measure. Scalar risk measures with multiple eligible assets also turn out to be a special case within the set-valued framework. 
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