Closedness of convex sets in Orlicz spaces with applications to dual representation of risk measures

DOI10.4064/SM180404-3-1MaRDI QIDQ5237161zbMATH OpenOpenAlexWikidataFDO

Authors Niushan Gao, Denny H. Leung, Foivos Xanthos

Publication date 16 October 2019

Published in Studia Mathematica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1610.08806

zbMATH Keywords

risk measuresOrlicz spacesBanach latticesOrlicz heartsorder closuresorder closed setssequentially closed setsKrein-\(\check{}\) smulian property

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Duality theory for topological vector spaces (46A20)

Abstract: Let $(Phi,Psi)$ be a conjugate pair of Orlicz functions. A set in the Orlicz space $L^{P}hi$ is said to be order closed if it is closed with respect to dominated convergence of sequences of functions. A well known problem arising from the theory of risk measures in financial mathematics asks whether order closedness of a convex set in $L^{P}hi$ characterizes closedness with respect to the topology $sigma(L^{P}hi,L^{P}si)$. (See [26, p.3585].) In this paper, we show that for a norm bounded convex set in $L^{P}hi$, order closedness and $sigma(L^{P}hi,L^{P}si)$-closedness are indeed equivalent. In general, however, coincidence of order closedness and $sigma(L^{P}hi,L^{P}si)$-closedness of convex sets in $L^{P}hi$ is equivalent to the validity of the Krein-Smulian Theorem for the topology $sigma(L^{P}hi,L^{P}si)$; that is, a convex set is $sigma(L^{P}hi,L^{P}si)$-closed if and only if it is closed with respect to the bounded-$sigma(L^{P}hi,L^{P}si)$ topology. As a result, we show that order closedness and $sigma(L^{P}hi,L^{P}si)$-closedness of convex sets in $L^{P}hi$ are equivalent if and only if either $Phi$ or $Psi$ satisfies the $Delt{a}_2$-condition. Using this, we prove the surprising result that: emph{If (and only if) $Phi$ and $Psi$ both fail the $Delt{a}_2$-condition, then there exists a coherent risk measure on $L^{P}hi$ that has the Fatou property but fails the Fenchel-Moreau dual representation with respect to the dual pair $(L^{P}hi,L^{P}si)$}. A similar analysis is carried out for the dual pair of Orlicz hearts $(H^{P}hi,H^{P}si)$.

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Cited in

(15)

• The strong Fatou property of risk measures
• Dual characterization of properties of risk measures on Orlicz hearts
• Smallest order closed sublattices and option spanning
• Convex risk measures on Orlicz spaces: inf-convolution and shortfall
• Dual representations for systemic risk measures based on acceptance sets
• The order-type Banach-Saks properties
• Surplus-invariant risk measures
• Automatic Fatou property of law-invariant risk measures
• On closedness of law-invariant convex sets in rearrangement invariant spaces
• Mean‐ portfolio selection and ‐arbitrage for coherent risk measures
• On closedness of convex sets in Banach lattices
• Convex functions on dual Orlicz spaces
• \(um\)-topology in multi-normed vector lattices
• Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
• On the C-property and \(w^*\)-representations of risk measures

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