Robust representation of convex risk measures by probability measures

DOI10.1007/s00780-005-0160-0zbMath1092.91045OpenAlexW2011609882MaRDI QIDQ2488503

Volker Krätschmer

Publication date: 24 May 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-005-0160-0

zbMATH Keywords

risk measuresconvex risk measuressup functionals

Mathematics Subject Classification ID

Contents, measures, outer measures, capacities (28A12) Utility theory (91B16)

Related Items (9)

A control approach to robust utility maximization with logarithmic utility and time-consistent penalties ⋮ Cash subadditive risk measures for portfolio vectors ⋮ Characterization of the Minimal Penalty of a Convex Risk Measure with Applications to Robust Utility Maximization for Lévy Models ⋮ Optimal investments for risk- and ambiguity-averse preferences: a duality approach ⋮ On Hoeffding and Bernstein type inequalities for sums of random variables in non-additive measure spaces and complete convergence ⋮ Choquet calculus using operational matrices ⋮ Probability inequalities for decomposition integrals ⋮ Representation of increasing convex functionals with countably additive measures ⋮ RISK MEASURES ON ORLICZ HEARTS

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