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arXiv · 1202.5702

Set-valued average value at risk and its computation

Andreas H. Hamel·Birgit Rudloff·Mihaela Yankova
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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.

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Andreas H. Hamel, Birgit Rudloff, Mihaela Yankova. 2012-02-25. Set-valued average value at risk and its computation. https://arxiv.org/abs/1202.5702

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