A New Class Of Multivariate And Multi-period Risk Measures Based On P-norms

In this paper, a new class of Multivariate and Multi-period risk measures based on P-norms is proposed. First, the paper introduces a Single-period risk measure based on p-norms, and gives some applications to meet its special nature; second, the paper proposes a multivariate risk measure based on the single-period risk measure that we introduced before, in which the knowledge of matrix transformation and the calculus are used to simplify the calculation under elliptic distributions,and deduce a special nature under Multi-Normal distributions and Multi-t distributions; Finally, applied the conditional expectation and two multi-period risk measures based on the single-period risk measure that we introduced before is proposed.