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

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A coercive James's weak compactness theorem and nonlinear variational problems
• In a nonreflexive space the subdifferential is not onto
• A unified framework for utility maximization problems: An Orlicz space approach
• Boundaries of Asplund spaces
• An eigenvector proof of Fatou's lemma for continuous functions
• Reflexivity and the sup of linear functionals
• Banach space theory. The basis for linear and nonlinear analysis
• A new minimax theorem and a perturbed James's theorem
• 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

This page was built for publication: Lebesgue property for convex risk measures on Orlicz spaces