Essential supremum with respect to a random partial order

DOI10.1016/j.jmateco.2013.07.002zbMath1284.91111OpenAlexW3122433774MaRDI QIDQ393278

Emmanuel Lépinette, Youri M.Kabanov

Publication date: 16 January 2014

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

Full work available at URL: https://doi.org/10.1016/j.jmateco.2013.07.002

zbMATH Keywords

transaction costsessential supremumrandom partial orderset-valued dynamic risk measures

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Partial orders, general (06A06) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Financial applications of other theories (91G80)

Related Items (10)

Risk-hedging a European option with a convex risk measure and without no-arbitrage condition ⋮ Pricing without no-arbitrage condition in discrete time ⋮ Conditional interior and conditional closure of random sets ⋮ Pricing under dynamic risk measures ⋮ Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs ⋮ General financial market model defined by a liquidation value process ⋮ On Supremal and Maximal Sets with Respect to Random Partial Orders ⋮ Random optimization on random sets ⋮ VECTOR-VALUED COHERENT RISK MEASURE PROCESSES ⋮ Conditional cores and conditional convex hulls of random sets

Uses Software

• BENSOLVE

Cites Work

• Unnamed Item
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• Set-valued risk measures for conical market models
• No-arbitrage of second kind in countable markets with proportional transaction costs
• On the multi-utility representation of preference relations
• Vector Optimization with Infimum and Supremum
• General duality in vector optimization
• Time consistency of dynamic risk measures in markets with transaction costs
• Theory of Random Sets

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