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


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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