A note on robust representations of law-invariant quasiconvex functions

DOI10.1007/978-4-431-53930-8_2MaRDI QIDQ3178352zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Law-Invariant Functionals on General Spaces of Random Variables
• Law invariant convex risk measures
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• Schur convex functionals: Fatou property and representation
• Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces

Cites work

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

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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