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Ludger Rüschendorf

Law invariant convex risk measures for portfolio vectors

Keywords: risk measures, portfolio vector, distortion, average value at risk

The class of all law invariant, convex risk measures for portfolio vectors is characterized. The building blocks of this class are shown to be formed by the maximal correlation risk measures. We further introduce some classes of multivariate distortion risk measures and relate them to multivariate quantile functionals and to an extension of the average value at risk measure.

Statistics & Decisions, Oldenbourg Wissenschaftsverlag

Print ISSN: 0721-2631
Volume: 24, 01/2006
Pages: 097 - 108

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