Lebesgue property for convex risk measures on Orlicz spaces

DOI10.1007/S11579-012-0058-5zbMath1258.91108OpenAlexW2016126463MaRDI QIDQ1938973

Manuel Ruiz Galán, José Orihuela

Publication date: 26 February 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-012-0058-5

zbMATH Keywords

compactnessOrlicz spacesrisk measuresLebesgue propertyperturbed minimization problems

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Financial applications of other theories (91G80) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Compactness in Banach (or normed) spaces (46B50) Portfolio theory (91G10)

Related Items (21)

New real-variable characterizations of anisotropic weak Hardy spaces of Musielak-Orlicz type ⋮ One-sided James' compactness theorem ⋮ Stability in locally \(L^{0}\)-convex modules and a conditional version of James' compactness theorem ⋮ A multiset version of James's theorem ⋮ Weak Orlicz–Hardy martingale spaces ⋮ Option spanning beyond \(L_p\)-models ⋮ Duality and stable compactness in Orlicz-type modules ⋮ Weak compactness and variational characterization of the convexity ⋮ Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces ⋮ Stability properties of Haezendonck-Goovaerts premium principles ⋮ Maximum Lebesgue extension of monotone convex functions ⋮ A coercive James's weak compactness theorem and nonlinear variational problems ⋮ Beyond cash-additive risk measures: when changing the numéraire fails ⋮ On the Lebesgue property of monotone convex functions ⋮ Conic James' Compactness Theorem ⋮ Compactness, Optimality, and Risk ⋮ On the range of the subdifferential in non reflexive Banach spaces ⋮ Robust Utility Maximization without Model Compactness ⋮ Булевозначный подход к анализу условного риска ⋮ Mackey constraints for James's compactness theorem and risk measures ⋮ Weak compactness of sublevel sets

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• RISK MEASURES ON ORLICZ HEARTS
• Differentiability Properties of Utility Functions
• Law invariant risk measures have the Fatou property
• On Sequences without Weak ∗ Convergent Convex Block Subsequences
• Coherent risk measures
• Stochastic finance. An introduction in discrete time

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