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arXiv · 1609.07903

Strongly Consistent Multivariate Conditional Risk Measures

Hannes Hoffmann·Thilo Meyer-Brandis·Gregor Svindland
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Abstract

We consider families of strongly consistent multivariate conditional risk measures. We show that under strong consistency these families admit a decomposition into a conditional aggregation function and a univariate conditional risk measure as introduced Hoffmann et al. (2016). Further, in analogy to the univariate case in F\"ollmer (2014), we prove that under law-invariance strong consistency implies that multivariate conditional risk measures are necessarily multivariate conditional certainty equivalents.

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Hannes Hoffmann, Thilo Meyer-Brandis, Gregor Svindland. 2016-09-26. Strongly Consistent Multivariate Conditional Risk Measures. https://arxiv.org/abs/1609.07903

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