Mackey constraints for James's compactness theorem and risk measures (Q2302916)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mackey constraints for James's compactness theorem and risk measures |
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Mackey constraints for James's compactness theorem and risk measures (English)
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26 February 2020
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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'').
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Mackey topology
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reflexivity
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weak compactness
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risk measures
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non-attaining linear functionals
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Lebesgue property
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