Multi-asset return risk measures

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<title>Multi-asset return risk measures</title>
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<namePart>Liebrich, Felix-Benedikt</namePart>
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<namePart>Sass, Jörn</namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Christian Laudagé, Felix-Benedikt Liebrich and Jörn Sass</note>
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<topic>Rentabilidad ajustada al riesgo</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>15/09/2025 Volume 55 Issue 3 - September 2025 , p. 668 - 694</text>
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