CASH SUBADDITIVE RISK MEASURES FOR PORTFOLIO VECTORS

数学物理学报(英文版) ›› 2018, Vol. 38 ›› Issue (1): 361-376.

• 论文 • 上一篇

CASH SUBADDITIVE RISK MEASURES FOR PORTFOLIO VECTORS

刘红卫^1,2, 胡亦钧¹, 魏林晓³

1. School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China;
2. School of Science, Tibet University, Lhasa 850000, China;
3. College of Science, Wuhan University of Technology, Wuhan 430072, China

收稿日期:2015-04-07 修回日期:2017-05-17 出版日期:2018-02-25 发布日期:2018-02-25
作者简介:Hongwei LIU,E-mail:lhw_28@163.com;Yijun HU,E-mail:yjhu.math@whu.edu.cn;Linxiao WEI,E-mail:E-mail:lxwei@whu.edu.cn
基金资助:
Supported by the National Natural Science Foundation of China (11371284, 11771343).

CASH SUBADDITIVE RISK MEASURES FOR PORTFOLIO VECTORS

Hongwei LIU^1,2, Yijun HU¹, Linxiao WEI³

1. School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China;
2. School of Science, Tibet University, Lhasa 850000, China;
3. College of Science, Wuhan University of Technology, Wuhan 430072, China

Received:2015-04-07 Revised:2017-05-17 Online:2018-02-25 Published:2018-02-25
Supported by:
Supported by the National Natural Science Foundation of China (11371284, 11771343).

摘要/Abstract

摘要： In this paper, from the viewpoint of the time value of money, we study the risk measures for portfolio vectors with discount factor. Cash subadditive risk measures for portfolio vectors are proposed. Representation results are given by two different methods which are convex analysis and enlarging space. Especially, the method of convex analysis make the line of reasoning and the representation result be simpler. Meanwhile, spot and forward risk measures for portfolio vectors are also introduced, and the relationships between them are investigated.

关键词: cash subadditivity, risk measures, convex analysis, portfolio vectors

Abstract: In this paper, from the viewpoint of the time value of money, we study the risk measures for portfolio vectors with discount factor. Cash subadditive risk measures for portfolio vectors are proposed. Representation results are given by two different methods which are convex analysis and enlarging space. Especially, the method of convex analysis make the line of reasoning and the representation result be simpler. Meanwhile, spot and forward risk measures for portfolio vectors are also introduced, and the relationships between them are investigated.

Key words: cash subadditivity, risk measures, convex analysis, portfolio vectors

刘红卫, 胡亦钧, 魏林晓. CASH SUBADDITIVE RISK MEASURES FOR PORTFOLIO VECTORS[J]. 数学物理学报(英文版), 2018, 38(1): 361-376.

Hongwei LIU, Yijun HU, Linxiao WEI. CASH SUBADDITIVE RISK MEASURES FOR PORTFOLIO VECTORS[J]. Acta mathematica scientia,Series B, 2018, 38(1): 361-376.

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CASH SUBADDITIVE RISK MEASURES FOR PORTFOLIO VECTORS

CASH SUBADDITIVE RISK MEASURES FOR PORTFOLIO VECTORS

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