Data Management

Multidimensional Dynamic Risk Measure Via Conditional G-Expectation

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Executive Summary

This paper studies multidimensional dynamic risk measure induced by conditional g-expectation. A notion of multidimensional g-expectation is proposed to provide a multidimensional version of nonlinear expectations. By a technical result on explicit expressions for the comparison theorem, uniqueness theorem and viability on a rectangle of solutions to multidimensional backward stochastic differential equations, some necessary and sufficient conditions are given for the constancy, monotonicity, positivity, homogeneity and translatability properties of multidimensional conditional g-expectation and multidimensional dynamic risk measure; the authors prove that a multidimensional dynamic g-risk measure is nonincreasingly convex if and only if the generator g satisfies a quasi-monotone increasingly convex condition.

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