Dilatation monotone risk measures are law invariant

DOI10.1007/S00780-007-0034-8zbMath1144.91008OpenAlexW2010386376MaRDI QIDQ2463717

Pavel G. Grigoriev, Alexander S. Cherny

Publication date: 16 December 2007

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-007-0034-8

zbMATH Keywords

coherent risk measuresFatou propertysecond-order stochastic dominanceconvex risk measuresdilatation monotonicitylaw invariancefactor monotonicity

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (14)

Risk measures with the CxLS property ⋮ Optimal and robust contracts for a risk-constrained principal ⋮ Mean‐ portfolio selection and ‐arbitrage for coherent risk measures ⋮ Risk Aversion in Regulatory Capital Principles ⋮ Dilatation monotonicity and convex order ⋮ Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders ⋮ Iterated conditional expectations ⋮ Risk arbitrage and hedging to acceptability under transaction costs ⋮ The strong Fatou property of risk measures ⋮ On the extension property of dilatation monotone risk measures ⋮ MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS ⋮ Law-Invariant Functionals on General Spaces of Random Variables ⋮ Efficient allocations under law-invariance: a unifying approach ⋮ Compositions of conditional expectations, Amemiya-Andô conjecture and paradoxes of thermodynamics

Cites Work

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• Weighted V\@R and its properties
• Convex measures of risk and trading constraints
• Coherent Measures of Risk
• Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals
• Law invariant risk measures have the Fatou property
• BALAYAGE MONOTONOUS RISK MEASURES
• Stochastic finance. An introduction in discrete time

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