Cash subadditive risk measures for portfolio vectors |
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Authors: | Hongwei LIU Yijun HU Linxiao WEI |
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Institution: | 1. School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China;2. School of Science, Tibet University, Lhasa 850000, China |
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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. |
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Keywords: | cash subadditivity risk measures convex analysis portfolio vectors 91B30 91B32 91B70 |
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