In this paper, we propose a new class of set-valued coherent risk measures called the set-valued weighted value at risk. Firstly, the “regulator” version is independent of other market scenarios. The second version, which is called the market extension, is related to different market scenarios. The proofs of the properties of both versions are given, and equivalent representations are provided that enable us to compute the values of both versions of set-valued weighted value at risk. Finally, we offer examples to illustrate various features of the theoretical constructions of the set-valued weighted value at risk.

Mathematics Subject Classification (2010): 91B30 91B32 91B70.

在本文中，我们提出了一类新的设定值相干风险度量，称为风险设定值加权值。首先，“监管者”版本独立于其他市场情况。第二个版本称为市场扩展，它与不同的市场场景相关。给出了两个版本的属性的证明，并提供了等效的表示形式，使我们能够计算处于风险中的两个版本的设定值加权值的值。最后，我们提供了一些示例来说明风险中的定值加权值的理论构造的各种特征。

数学学科分类（2010年）： 91B30 91B32 91B70。