Acceptability Indexes for Portfolio Vectors

Abstract EN

In this paper, we introduce two new classes of acceptability indexes, named quasi-concave acceptability indexes and coherent acceptability indexes, for portfolio vectors.

We establish the one-to-one correspondence between quasi-concave (coherent, resp.) acceptability indexes and convex (coherent, resp.) risk measures for portfolio vectors.

We derive the representation results for coherent and convex risk measures.

Finally, based on these results, we derive the representation results for quasi-concave acceptability indexes and coherent acceptability indexes for portfolio vectors.

These new acceptability indexes can be considered as a kind of multivariate extension of univariate coherent and quasi-concave acceptability indexes introduced by Cherny and Madan (2009) and Rosazza Gianin and Sgarra (2013), respectively.