On Multivariate Scalar Invariant Maps and Applications
DOI:
https://doi.org/10.29020/nybg.ejpam.v19i2.7523Keywords:
capital requirement,, systemic risk measure, cash invariance,, coherency axiomsAbstract
Scalar invariance is a fundamental property of risk measures. In this paper, we establish a complete characterization of multivariate scalar-invariant mappings and investigate their key properties. To support this analysis, we introduce a novel topology on the linear space of bounded random vectors, along with a new duality framework. Building on these foundations, we derive a new representation result for multivariate scalar-invariant mappings.
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Copyright (c) 2026 Abdelkarem Berkaoui
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