On a class of law invariant convex risk measures
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Publication:483720
DOI10.1007/s00780-010-0145-5zbMath1303.91088OpenAlexW2165836232MaRDI QIDQ483720
Michael Kupper, Ivo Kaelin, Gilles Angelsberg, Freddy Delbaen, Joachim Näf
Publication date: 17 December 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-010-0145-5
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Cites Work
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- Convex measures of risk and trading constraints
- Coherent Measures of Risk
- Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals
- RISK MEASURES ON ORLICZ HEARTS
- Law invariant risk measures have the Fatou property
- THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Stochastic finance. An introduction in discrete time
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