Friday, 11:30 - 11:55 h, Room: H 1029

 

Frank Heyde
Set-valued average value at risk

Coauthors: Andreas Hamel, Birgit Rudloff, Benjamin Wei├čing

 

Abstract:
Since the seminal paper of Artzner, Delbaen, Eber and Heath
(1999), coherent measures of risk are considered to be an important tool for risk management. The most prominent example of a coherent risk measure is "Average (Conditional) Value at Risk (AVaR)''. In the presence of transaction costs it turned out that set-valued risk measures are in general better suited to cope with multiple markets than real-valued fuctions. A general theory of set valued convex risk measures was developed by Hamel, Heyde (2010) and Hamel, Heyde, Rudloff (2011). Within this framework we will present a set-valued version of the AVaR. A primal and dual description will be given which extend the real-valued case to the set-valued framework. The equivalence of the two descriptions is shown using a set-valued Fenchel-Rockafellar duality theorem developed by Hamel (2011).

 

Talk 3 of the contributed session Fri.1.H 1029
"Bilevel optimization and risk management" [...]
Cluster 15
"Multi-objective optimization" [...]

 

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