Schur convex functionals: Fatou property and representation

DOI10.1111/J.1467-9965.2010.00464.XMaRDI QIDQ4906536zbMATHOpenAlexFDO

Authors Bogdan Grechuk, Michael Zabarankin

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.1467-9965.2010.00464.x

zbMATH Keywords

risk measuresSchur convexitydeviation measureserror measuresquantile representation

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Convexity of real functions in one variable, generalizations (26A51) (L^p)-limit theorems (60F25)

Recommendations

• Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
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• Automatic Fatou property of law-invariant risk measures

Cites work

• scientific article; zbMATH DE number 1788883 (Why is no real title available?)
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES
• Coherent measures of risk
• Comparison methods for stochastic models and risks
• Dual Stochastic Dominance and Related Mean-Risk Models
• Generalized deviations in risk analysis
• Law invariant risk measures have the Fatou property
• Maximum entropy principle with general deviation measures
• Optimization of Convex Risk Functions
• Risk tuning with generalized linear regression
• Sur quelques applications des fonctions convexes et concaves au sens de I. Schur

Cited in

(14)

• The strong Fatou property of risk measures
• Kusuoka representations of coherent risk measures in general probability spaces
• Convex increasing functionals on $C_b(X)$ spaces
• On the Lebesgue property of monotone convex functions
• Representation of quasi-monotone functionals by families of separating hyperplanes
• Law-Invariant Functionals on General Spaces of Random Variables
• A note on robust representations of law-invariant quasiconvex functions
• The center of a convex set and capital allocation
• Inverse portfolio problem with mean-deviation model
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• INTERRELATIONSHIPS BETWEEN l_P‐ISOTROPIC DENSITIES AND l_P‐ISOTROPIC SURVIVAL FUNCTIONS, AND DE FINETTI REPRESENTATIONS OF SCHUR‐CONCAVE SURVIVAL FUNCTIONS
• Sensitivity analysis in applications with deviation, risk, regret, and error measures
• Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
• Regression analysis: likelihood, error and entropy

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