A note on robust representations of law-invariant quasiconvex functions

DOI10.1007/978-4-431-53930-8_2zbMath1341.91039OpenAlexW57290640MaRDI QIDQ3178352

Samuel Drapeau, Ranja Reda, Michael Kupper

Publication date: 12 July 2016

Published in: Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-4-431-53930-8_2

zbMATH Keywords

risk measureFatou propertyrobust representationlaw-invariance

Mathematics Subject Classification ID

Decision theory (91B06) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02)

Cites Work

• Convex measures of risk and trading constraints
• Representation results for law invariant time consistent functions
• Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
• Coherent Measures of Risk
• Law invariant risk measures have the Fatou property
• CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY

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