IDEAS home Printed from https://ideas.repec.org/a/hin/jnlmpe/2196563.html
   My bibliography  Save this article

Acceptability Indexes for Portfolio Vectors

Author

Listed:
  • Xianfu Zeng
  • Yanhong Chen
  • Yijun Hu

Abstract

In this paper, we introduce two new classes of acceptability indexes, named quasi-concave acceptability indexes and coherent acceptability indexes, for portfolio vectors. We establish the one-to-one correspondence between quasi-concave (coherent, resp.) acceptability indexes and convex (coherent, resp.) risk measures for portfolio vectors. We derive the representation results for coherent and convex risk measures. Finally, based on these results, we derive the representation results for quasi-concave acceptability indexes and coherent acceptability indexes for portfolio vectors. These new acceptability indexes can be considered as a kind of multivariate extension of univariate coherent and quasi-concave acceptability indexes introduced by Cherny and Madan (2009) and Rosazza Gianin and Sgarra (2013), respectively.

Suggested Citation

  • Xianfu Zeng & Yanhong Chen & Yijun Hu, 2019. "Acceptability Indexes for Portfolio Vectors," Mathematical Problems in Engineering, Hindawi, vol. 2019, pages 1-9, September.
    • Handle: RePEc:hin:jnlmpe:2196563
    DOI: 10.1155/2019/2196563
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/MPE/2019/2196563.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/MPE/2019/2196563.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2019/2196563?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Righi, Marcelo Brutti, 2024. "Star-shaped acceptability indexes," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 170-181.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnlmpe:2196563. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.