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2006-04-21Buch DOI: 10.18452/3959
Tail Conditional Expectation for vector-valued Risks
dc.contributor.authorBentahar, Imen
dc.date.accessioned2017-06-15T23:08:29Z
dc.date.available2017-06-15T23:08:29Z
dc.date.created2006-05-05
dc.date.issued2006-04-21
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4611
dc.description.abstractIn his paper we introduce a quantile-based risk measure for multivariate financial positions: the vector-valued Tail-conditional-expectation (TCE). We adopt the framework proposed by Jouini, Meddeb, and Touzi [9] to deal with multi-assets portfolios when one accounts for frictions in the financial market. In this framework, the space of risks formed by essentially bounded random vectors, is endowed with some partial vector preorder >= accounting for market frictions. In a first step we provide a definition for quantiles of vector-valued risks which is compatible with the preorder >=. The TCE is then introduced as a natural extension of the “classical” real-valued tail-conditional-expectation. Our main result states that for continuous distributions TCE is equal to a coherent vector-valued risk measure. We also provide a numerical algorithm for computing vector-valued quantiles and TCE.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectRisk measureseng
dc.subjectvector-valued risk measureseng
dc.subjectcoherent risk-measureseng
dc.subjectquantileseng
dc.subjecttail-conditional-expectationeng
dc.subject.ddc330 Wirtschaft
dc.titleTail Conditional Expectation for vector-valued Risks
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10063334
dc.identifier.doihttp://dx.doi.org/10.18452/3959
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages34
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2006
local.edoc.container-issue29
local.edoc.container-year2006
local.edoc.container-erstkatid2195055-6

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