Multivariate risk measures in the non-convex setting

DOI
Publisher DOI
Abstract
The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g., in case of fixed transaction costs or when only a finite number of transfers are possible. The paper presents an approach to measure risks of such positions based on the idea of considering all selections of the portfolio and checking if one of them is acceptable. Properties and basic examples of risk measures of non-convex portfolios are presented.
Date Issued
2019
Publication Type
Article
Subject(s)
Language(s)
en
Author(s)
Haier, Andreas
Additional Credits
Journal
Statistics & risk modeling
Publisher
de Gruyter
ISSN
2193-1402
Access(Rights)
open.access
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