On Kusuoka Representation of Law Invariant Risk Measures

DOI10.1287/moor.1120.0563zbMath1291.91125OpenAlexW2134802631MaRDI QIDQ5169659

Alexander Shapiro

Publication date: 11 July 2014

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.1120.0563

zbMATH Keywords

coherent risk measuresaverage value-at-riskFenchel-Moreau theoremlaw invariancecomonotonic risk measures

Mathematics Subject Classification ID

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