CASH SUBADDITIVE RISK MEASURES FOR PORTFOLIO VECTORS

Abstract

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

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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