Schur convex functionals: Fatou property and representation

DOI10.1111/J.1467-9965.2010.00464.XzbMATH Open1279.60031OpenAlexW1831659830MaRDI QIDQ4906536FDOQ4906536

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

Recommendations

• Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• Law-Invariant Functionals on General Spaces of Random Variables
• The strong Fatou property of risk measures
• Automatic Fatou property of law-invariant risk measures

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)

Cites Work

• Coherent measures of risk
• Comparison methods for stochastic models and risks
• Generalized deviations in risk analysis
• Dual Stochastic Dominance and Related Mean-Risk Models
• 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
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES
• Title not available (Why is that?)
• Sur quelques applications des fonctions convexes et concaves au sens de I. Schur

Cited In (13)

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

This page was built for publication: Schur convex functionals: Fatou property and representation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4906536)