THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1

DOI10.1111/j.1467-9965.2012.00534.xzbMath1278.91086OpenAlexW1575356971MaRDI QIDQ4906528

Gregor Svindland, Damir Filipović

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.1467-9965.2012.00534.x

Mathematics Subject Classification ID

Related Items (42)

Dual characterization of properties of risk measures on Orlicz hearts ⋮ Performance measurement with expectiles ⋮ Optimality Conditions and Moreau–Yosida Regularization for Almost Sure State Constraints ⋮ Automatic Fatou property of law-invariant risk measures ⋮ Coherent Risk Measures Under Dominated Variation ⋮ How Superadditive Can a Risk Measure Be? ⋮ Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\) ⋮ Hedging, Pareto optimality, and good deals ⋮ Parametric measures of variability induced by risk measures ⋮ Model spaces for risk measures ⋮ Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\) ⋮ Convex risk measures on Orlicz spaces: inf-convolution and shortfall ⋮ Minkowski deviation measures ⋮ Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures ⋮ Risk Aversion in Regulatory Capital Principles ⋮ Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces ⋮ SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES ⋮ Maximum Lebesgue extension of monotone convex functions ⋮ Comparative and qualitative robustness for law-invariant risk measures ⋮ Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\) ⋮ DISTORTION RISKMETRICS ON GENERAL SPACES ⋮ Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds ⋮ On a class of law invariant convex risk measures ⋮ ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY ⋮ Good deals in markets with friction ⋮ Trade-off between robust risk measurement and market principles ⋮ Are law-invariant risk functions concave on distributions? ⋮ Worst case portfolio vectors and diversification effects ⋮ Recent progress in random metric theory and its applications to conditional risk measures ⋮ Robustness regions for measures of risk aggregation ⋮ The strong Fatou property of risk measures ⋮ Law invariant risk measures and information divergences ⋮ On Banach spaces of vector-valued random variables and their duals motivated by risk measures ⋮ The natural Banach space for version independent risk measures ⋮ Optimal static-dynamic hedges for exotic options under convex risk measures ⋮ Liquidity, Risk Measures, and Concentration of Measure ⋮ Surplus-Invariant Risk Measures ⋮ On the extension property of dilatation monotone risk measures ⋮ Law-Invariant Functionals on General Spaces of Random Variables ⋮ Regulatory arbitrage of risk measures ⋮ RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION ⋮ General dual measures of riskiness

Cites Work

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• On convex risk measures on \(L^{p}\)-spaces
• Convex measures of risk and trading constraints
• Coherent Measures of Risk
• Law invariant risk measures have the Fatou property
• Optimization of Convex Risk Functions
• Coherent risk measures
• Stochastic finance. An introduction in discrete time

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