naa a22 4500 510808557 CHVBK 20180411083430.0 cr unu---uuuuu 180411e20130301xx s 000 0 eng 10.1007/s11579-013-0094-9 doi (NATIONALLICENCE)springer-10.1007/s11579-013-0094-9 Set-valued average value at risk and its computation [Elektronische Daten] [Andreas Hamel, Birgit Rudloff, Mihaela Yankova] New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case. The first 'regulator' version is independent from any market model whereas the second version, called the market extension, takes trading opportunities into account. Essential properties of both versions are proven and an algorithmic approach is provided which admits to compute the values of both versions over finite probability spaces. Several examples illustrate various features of the theoretical constructions. Springer-Verlag Berlin Heidelberg, 2013 Average value at risk nationallicence Set-valued risk measures nationallicence Coherent risk measures nationallicence Transaction costs nationallicence Benson's algorithm nationallicence Hamel Andreas Department of Mathematical Sciences, Yeshiva University, New York, NY, USA aut Rudloff Birgit ORFE, BCF, Princeton University, Princeton, NJ, USA aut Yankova Mihaela Barclays Capital, New York, NY, USA aut Mathematics and Financial Economics Springer Berlin Heidelberg 7/2(2013-03-01), 229-246 1862-9679 7:2<229 2013 7 11579 https://doi.org/10.1007/s11579-013-0094-9 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11579-013-0094-9 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Hamel Andreas Department of Mathematical Sciences, Yeshiva University, New York, NY, USA aut NATIONALLICENCE 700 1- Rudloff Birgit ORFE, BCF, Princeton University, Princeton, NJ, USA aut NATIONALLICENCE 700 1- Yankova Mihaela Barclays Capital, New York, NY, USA aut NATIONALLICENCE 773 0- Mathematics and Financial Economics Springer Berlin Heidelberg 7/2(2013-03-01), 229-246 1862-9679 7:2<229 2013 7 11579 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer