英文标题：
《A Supermartingale Relation for Multivariate Risk Measures》
---
作者：
Zachary Feinstein, Birgit Rudloff
---
最新提交年份：
2018
---
英文摘要：
The equivalence between multiportfolio time consistency of a dynamic multivariate risk measure and a supermartingale property is proven. Furthermore, the dual variables under which this set-valued supermartingale is a martingale are characterized as the worst-case dual variables in the dual representation of the risk measure. Examples of multivariate risk measures satisfying the supermartingale property are given. Crucial for obtaining the results are dual representations of scalarizations of set-valued dynamic risk measures, which are of independent interest in the fast growing literature on multivariate risks.
---
中文摘要：
证明了动态多变量风险测度的多端口时间一致性与超鞅性质的等价性。此外，集值上鞅是鞅的对偶变量在风险测度的对偶表示中被刻画为最坏情形的对偶变量。给出了满足超鞅性质的多变量风险度量的例子。获得结果的关键是集值动态风险度量的标度化的双重表示，这在快速增长的多元风险文献中具有独立的意义。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--

---
PDF下载：
-->