Strongly Consistent Multivariate Conditional Risk Measures
  We consider families of strongly consistent multivariate conditional risk measures. We show that under strong consistency these families admit a decomposition into a conditional aggregation function and a univariate conditional risk measure as introduced Hoffmann et al. (2016). Further, in analogy to the univariate case in F\"ollmer (2014), we prove that under law-invariance strong consistency implies that multivariate conditional risk measures are necessarily multivariate conditional certainty equivalents. 
Hannes Hoffmann, Thilo Meyer-Brandis, Gregor Svindland
q-fin.MF