On a class of law invariant convex risk measures
type: Item
instance of: scholarly article
title: On a class of law invariant convex risk measures
zbMATH Open document ID: 1303.91088
author: Gilles Angelsberg
author: Freddy Delbaen
author: Ivo Kaelin
author: Michael Kupper
author: Joachim Näf
published in: Finance and Stochastics
publication date: 2014-12-17T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 28A33
Mathematics Subject Classification ID: 49J55
Mathematics Subject Classification ID: 60A10
zbMATH DE Number: 6381319
zbMATH Keywords: law invariant convex risk measures
zbMATH Keywords: robust representation
zbMATH Keywords: variational methods
MaRDI profile type: Publication
full work available at URL: s00780-010-0145-5
OpenAlex ID: W2165836232
cites work: Coherent measures of risk
cites work: Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals
cites work: RISK MEASURES ON ORLICZ HEARTS
cites work: Dual characterization of properties of risk measures on Orlicz hearts
cites work: THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1
cites work: Convex measures of risk and trading constraints
cites work: Stochastic finance. An introduction in discrete time
cites work: Q3526970
cites work: Law invariant risk measures have the Fatou property
cites work: Q4552656
cites work: Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
DOI: 10.1007/S00780-010-0145-5
description: scientific article; zbMATH DE number 6381319