A note on robust representations of law-invariant quasiconvex functions

DOI10.1007/978-4-431-53930-8_2zbMATH Open1341.91039OpenAlexW57290640MaRDI QIDQ3178352FDOQ3178352

Authors: Samuel Drapeau, Michael Kupper, Ranja Reda 

Publication date: 12 July 2016

Published in: Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-4-431-53930-8_2

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zbMATH Keywords

risk measurerobust representationFatou propertylaw-invariance

Mathematics Subject Classification ID

Decision theory (91B06) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02)

Cites Work

• Coherent measures of risk
• Convex measures of risk and trading constraints
• Cash subadditive risk measures and interest rate ambiguity
• Representation results for law invariant time consistent functions
• Law invariant risk measures have the Fatou property
• Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)

Cited In (4)

• Dual representation of quasi-convex conditional maps
• Representation of quasi-monotone functionals by families of separating hyperplanes
• Law-invariant functionals that collapse to the mean: beyond convexity
• Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)

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