The canonical model space for law-invariant convex risk measures is L^1
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Publication:4906528
DOI10.1111/J.1467-9965.2012.00534.XzbMATH Open1278.91086OpenAlexW1575356971MaRDI QIDQ4906528FDOQ4906528
Authors: Damir Filipović, Gregor Svindland 
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2012.00534.x
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Cites Work
- Coherent measures of risk
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- On convex risk measures on \(L^{p}\)-spaces
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- Coherent risk measures
Cited In (46)
- The natural Banach space for version independent risk measures
- Law-Invariant Functionals on General Spaces of Random Variables
- Set-valued law invariant coherent and convex risk measures
- Range-based risk measures and their applications
- Are law-invariant risk functions concave on distributions?
- Recent progress in random metric theory and its applications to conditional risk measures
- Worst case portfolio vectors and diversification effects
- Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
- Risk aversion in regulatory capital principles
- Asymptotic equivalence of risk measures under dependence uncertainty
- Surplus-invariant risk measures
- Distortion riskmetrics on general spaces
- Comparative and qualitative robustness for law-invariant risk measures
- Convex risk measures on Orlicz spaces: inf-convolution and shortfall
- Risk sharing under heterogeneous beliefs without convexity
- Robustness regions for measures of risk aggregation
- Dual characterization of properties of risk measures on Orlicz hearts
- Optimal static-dynamic hedges for exotic options under convex risk measures
- Hedging, Pareto optimality, and good deals
- Coherent risk measures under dominated variation
- Trade-off between robust risk measurement and market principles
- Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function
- Automatic Fatou property of law-invariant risk measures
- Good deals in markets with friction
- Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\)
- Regulatory arbitrage of risk measures
- Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures
- Distortion risk measures: prudence, coherence, and the expected shortfall
- How superadditive can a risk measure be?
- On Banach spaces of vector-valued random variables and their duals motivated by risk measures
- Parametric measures of variability induced by risk measures
- On a class of law invariant convex risk measures
- Law invariant risk measures and information divergences
- On the extension property of dilatation monotone risk measures
- Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\)
- Model spaces for risk measures
- Minkowski deviation measures
- The strong Fatou property of risk measures
- General dual measures of riskiness
- Optimality Conditions and Moreau–Yosida Regularization for Almost Sure State Constraints
- Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
- Maximum Lebesgue extension of monotone convex functions
- Performance measurement with expectiles
- Fully-dynamic risk-indifference pricing and no-good-deal bounds
- Qualitative robustness of utility-based risk measures
- Liquidity, risk measures, and concentration of measure
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