Duality for Set-Valued Measures of Risk

DOI10.1137/080743494zbMath1197.91112OpenAlexW1993455616WikidataQ29541305 ScholiaQ29541305MaRDI QIDQ3402360

Andreas H. Hamel, Frank Heyde

Publication date: 3 February 2010

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/080743494

zbMATH Keywords

coherent risk measuresconvex dualityvalue at riskLegendre-Fenchel transformset-valued risk measures

Mathematics Subject Classification ID

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