A remark on law invariant convex risk measures

DOI10.1007/978-4-431-72761-3_5zbMath1332.91068OpenAlexW2108194723MaRDI QIDQ5424506

Shigeo Kusuoka

Publication date: 5 November 2007

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

Full work available at URL: https://doi.org/10.1007/978-4-431-72761-3_5

Mathematics Subject Classification ID

Cites Work

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• Convex measures of risk and trading constraints
• Coherent Measures of Risk
• Law invariant risk measures have the Fatou property

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