Multivariate risk measures in the non-convex setting

被引：2
|
作者：
Haier, Andreas [2 ]
Molchanov, Ilya [1 ]
机构：
[1] Univ Bern, Inst Math Stat & Actuarial Sci, Bern, Switzerland
[2] Univ Bern, Bern, Switzerland
来源：
STATISTICS & RISK MODELING | 2019年 / 36卷 / 1-4期
关键词：
Fixed transaction costs; multivariate risk measure; set-valued risk; selection; random set;
D O I：
10.1515/strm-2019-0002
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g., in case of fixed transaction costs or when only a finite number of transfers are possible. The paper presents an approach to measure risks of such positions based on the idea of considering all selections of the portfolio and checking if one of them is acceptable. Properties and basic examples of risk measures of non-convex portfolios are presented.
引用
收藏
页码：25 / 35
页数：11
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