Work

Multi-Period Multivariate Risk Measures with Extensions to Multivariate Risk Statistics

Year: 2026

Type: article

Abstract: In this paper, we investigate multi-period multivariate risk measures as well as multivariate risk statistics. To be precise, by proposing new sets of axioms, we introduce two new classes of multi-period coherent and convex multivariate risk measures first, and then we provide dual representations for them. Equivalent conditions for dual representation are also given. Time consistency is also discussed. Moreover, we axiomatically introduce multi-period coherent and convex multivariate risk statistics. Dual representations for these multi-period multivariate risk statistics are derived. This paper provides some relevant theoretical results about the evaluation of multivariate risks in the multi-period setting, and provides a non-trivial generalization of several known achievements in the literature.

Source: Axioms

DOI: 10.3390/axioms15080614

Authors: Linhai Wei, Yijun Hu

Institutions: Wuhan Institute of Technology, Wuhan University

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $2,896

Funder: Wuhan Institute of Technology