Risk measures for vector-valued returns

Abstract

Portfolios, which are exposed to different currencies, have separate and different returns ineach individual currency and are thus vector-valued in a natural way.This paper investigates the natural domain of these risk measures. A Banach space is presented,for which the risk measure is continuous, and which reflects the vector-valued outcomesof the corresponding risk measures from mathematical finance. We develop its key properties and describe the corresponding duality theory. We finally outline extensions of this space, which are along classical Lp spaces.