静态多维风险度量研究

Acta mathematica scientia,Series A ›› 2019, Vol. 39 ›› Issue (2): 393-401.

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Static Multidimensional Risk Measures Research

Hongwei Liu¹,Caibo Xiao^2,*(),Yijun Hu³

¹ School of Science, Tibet University, Lhasa 850000
² School of Public Administration, Hebei University of Economics and Business, Shijiazhuang 050061
³ School of Mathematics and Statistics, Wuhan University, Wuhan 430072

Received:2018-02-01 Online:2019-04-26 Published:2019-05-05
Contact: Caibo Xiao E-mail:28@163.com
Supported by:
the Everest scholars Foundation of Tibet University(2016141);the Philosophy and Social Science Foundation of Tibet Autonomous Region(2017ASH001);the NSFC(51768063);the NSFC(11771343)

Abstract

Abstract:

In this paper, static risk measures is established in the multidimensional framework, the concepts of multidimensional monetary risk measures and acceptable set are introduced, and the relationships between multidimensional risk measures and acceptable set are investigated. Finally, the representation theorem of multidimensional risk measures is provided, some properties of multidimensional risk measures are given.

Key words: Multidimensional risk measures, Acceptable set, Fenchel-Moreau theorem, Representation theorem

CLC Number:

F830.9

Hongwei Liu,Caibo Xiao,Yijun Hu. Static Multidimensional Risk Measures Research[J].Acta mathematica scientia,Series A, 2019, 39(2): 393-401.

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Static Multidimensional Risk Measures Research

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