ON THE PENALTY FUNCTION AND ON CONTINUITY PROPERTIES OF RISK MEASURES
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Publication:3086260
DOI10.1142/S0219024911006309zbMath1208.91065OpenAlexW2086724386MaRDI QIDQ3086260
Emanuela Rosazza Gianin, Marco Frittelli
Publication date: 30 March 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024911006309
Related Items (6)
On the game interpretation of a shadow price process in utility maximization problems under transaction costs ⋮ On admissible strategies in robust utility maximization ⋮ Risk-averse asymptotics for reservation prices ⋮ Robust utility maximization with limited downside risk in incomplete markets ⋮ Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial markets ⋮ Quasiconvex risk statistics with scenario analysis
Cites Work
- Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
- The representations of two types of functionals on \(L^\infty(\Omega,\mathcal F)\) and \(L^\infty(\Omega,\mathcal F,\mathbb P)\)
- An overview of representation theorems for static risk measures
- Axiomatic characterization of insurance prices
- Convex measures of risk and trading constraints
- Theory of capacities
- Law invariant risk measures have the Fatou property
- Duality for the level sum of quasiconvex functions and applications
- On the Existence of Minimax Martingale Measures
- A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
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