CASH SUBADDITIVE RISK MEASURES FOR PORTFOLIO VECTORS

被引：0
|
作者：
刘红卫 [1 ,2 ]
胡亦钧 [1 ]
机构：
[1] School of Mathematics and Statistics, Wuhan University
[2] School of Science, Tibet University
来源：
Acta Mathematica Scientia | 2018年 / 38卷 / 01期
基金：
中国国家自然科学基金;
关键词：
cash subadditivity; risk measures; convex analysis; portfolio vectors;
D O I：
暂无
中图分类号：
O211.67 [期望与预测];
学科分类号：
020208 ; 070103 ; 0714 ;
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.
引用
收藏
页码：361 / 376
页数：16
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