Vector-valued coherent risk measures

Elyès Jouini, Moncef Meddeb, Nizar Touzi

Research output: Contribution to journalReview articlepeer-review


We define (d, n)-coherent risk measures as set-valued maps from L d into ℝ n satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner et al. [2]. We then discuss the aggregation issue, i.e., the passage from ℝ d-valued random portfolio to ℝ n-valued measure of risk. Necessary and sufficient conditions of coherent aggregation are provided.

Original languageEnglish (US)
Pages (from-to)531-552
Number of pages22
JournalFinance and Stochastics
Issue number4
StatePublished - Nov 2004


  • Coherent risk measures
  • Liquidity risk
  • Risk aggregation

ASJC Scopus subject areas

  • Statistics and Probability
  • Finance
  • Statistics, Probability and Uncertainty


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