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Worst case portfolio vectors and diversification effects

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  • Ludger Rüschendorf

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  • Ludger Rüschendorf, 2012. "Worst case portfolio vectors and diversification effects," Finance and Stochastics, Springer, vol. 16(1), pages 155-175, January.
    • Handle: RePEc:spr:finsto:v:16:y:2012:i:1:p:155-175
    DOI: 10.1007/s00780-010-0150-8
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    References listed on IDEAS

    as
    1. Puccetti, Giovanni & Scarsini, Marco, 2010. "Multivariate comonotonicity," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 291-304, January.
    2. Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
    3. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Convex Risk Functions," Risk and Insurance 0404001, University Library of Munich, Germany, revised 08 Oct 2005.
    4. Embrechts, Paul & Puccetti, Giovanni, 2006. "Bounds for functions of multivariate risks," Journal of Multivariate Analysis, Elsevier, vol. 97(2), pages 526-547, February.
    5. Cuestaalbertos, J. A. & Ruschendorf, L. & Tuerodiaz, A., 1993. "Optimal Coupling of Multivariate Distributions and Stochastic Processes," Journal of Multivariate Analysis, Elsevier, vol. 46(2), pages 335-361, August.
    6. Alfred Galichon & Ivar Ekeland & Marc Henry, 2009. "Comonotonic measures of multivariates risks," Working Papers hal-00401828, HAL.
    7. Andrzej Ruszczyński & Alexander Shapiro, 2006. "Optimization of Convex Risk Functions," Mathematics of Operations Research, INFORMS, vol. 31(3), pages 433-452, August.
    8. Burgert, Christian & Ruschendorf, Ludger, 2006. "Consistent risk measures for portfolio vectors," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 289-297, April.
    9. Rüschendorf, Ludger & Uckelmann, Ludger, 2002. "On the n-Coupling Problem," Journal of Multivariate Analysis, Elsevier, vol. 81(2), pages 242-258, May.
    10. Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
    11. Paul Embrechts & Giovanni Puccetti, 2006. "Bounds for Functions of Dependent Risks," Finance and Stochastics, Springer, vol. 10(3), pages 341-352, September.
    12. repec:dau:papers:123456789/342 is not listed on IDEAS
    13. Zephyr, 2010. "The city," City, Taylor & Francis Journals, vol. 14(1-2), pages 154-155, February.
    14. Patrick Cheridito & Tianhui Li, 2009. "Risk Measures On Orlicz Hearts," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 189-214, April.
    15. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Dependent risks; Risk bounds; Diversification; Comonotone vectors; 60E15; 91B30; G32; C43;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation

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