On Kusuoka Representation of Law Invariant Risk Measures
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Publication:5169659
DOI10.1287/moor.1120.0563zbMath1291.91125MaRDI QIDQ5169659
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
coherent risk measures; average value-at-risk; Fenchel-Moreau theorem; law invariance; comonotonic risk measures
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