Law invariant risk measures on L ∞ (ℝ d )

DOI10.1524/stnd.2011.1099zbMath1232.91345OpenAlexW1566958751MaRDI QIDQ3104431

Walter Schachermayer, Ivar Ekeland

Publication date: 19 December 2011

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2011.1099

zbMATH Keywords

risk measuresMonge-Kantorovich problemMonge-Kantorovich dualitylaw invariance

Mathematics Subject Classification ID

Duality theory (optimization) (49N15)

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Cites Work

• Multivariate comonotonicity
• Advances in mathematical economics. Vol. 3
• Dentability and extreme points in Banach spaces
• Optimal risk sharing with background risk
• Coherent Measures of Risk
• Law invariant convex risk measures for portfolio vectors
• Law invariant risk measures have the Fatou property