Multi-asset return risk measures

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      <subfield code="a">Laudagé, Christian</subfield>
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      <subfield code="c">Christian Laudagé, Felix-Benedikt Liebrich and Jörn Sass</subfield>
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      <subfield code="a">This paper extends the concept of return risk measures (RRMs) by allowing risk evaluation relative to multiple eligible assets, introducing the class of Multi-Asset Return Risk Measures (MARRMs). MARRMs provide a new framework for multiplicative risk sharing and establish a direct link with multi-asset risk measures (MARMs). Using insurance loss data and continuous-time financial markets, the study compares RRMs, MARMs, and MARRMs, highlighting material differences in risk-mitigation costs. The paper also analyzes key theoretical properties of MARRMs, including convexity conditions, consistency requirements, and dual representations. These results broaden the applicability of return-based risk assessment in multi-asset environments.</subfield>
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