SCHUR CONVEX FUNCTIONALS: FATOU PROPERTY AND REPRESENTATION

DOI10.1111/j.1467-9965.2010.00464.xzbMath1279.60031OpenAlexW1831659830MaRDI QIDQ4906536

Michael Zabarankin, Bogdan Grechuk

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00464.x

zbMATH Keywords

risk measuresSchur convexitydeviation measureserror measuresquantile representation

Mathematics Subject Classification ID

Related Items (6)

The center of a convex set and capital allocation ⋮ Sensitivity Analysis in Applications with Deviation, Risk, Regret, and Error Measures ⋮ Kusuoka representations of coherent risk measures in general probability spaces ⋮ Regression analysis: likelihood, error and entropy ⋮ Inverse portfolio problem with mean-deviation model ⋮ Law-Invariant Functionals on General Spaces of Random Variables

Cites Work

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• Law invariant risk measures have the Fatou property
• Dual Stochastic Dominance and Related Mean-Risk Models
• Optimization of Convex Risk Functions
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES

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