Mackey constraints for James's compactness theorem and risk measures (Q2302916): Difference between revisions

The authors prove a nice functional analysis theoretical result, with the following consequence: a Fatou coherent monetary utility function \(u_1 \neq ess.inf\) has the Lebesgue property if and only if the convolution between \(u_1\) and \(u_2\) is Fatou, for every Fatou coherent monetary utility function \(u_2\). It would have been nice to find out from the authors if this type of results has a practical importance, e.g., in risk measures theory, or stays at a theoretical level like, unfortunately, so many others in this context (``only time will tell\dots'').