Multivariate coherent risk measures induced by multivariate convex risk measures

Chen, YH; Hu, YJ

Chen, YH (corresponding author), Hunan Univ, Coll Finance & Stat, Changsha 410082, Hunan, Peoples R China.

POSITIVITY, 2020; 24 (3): 711

Abstract

In this paper, we study the close relationship between multivariate coherent and convex risk measures. Namely, starting from a multivariate convex ris......

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