Dynamic risk measures with fluctuation of market volatility under Bochne-Lebesgue space

MaRDI QIDQ6504901arXivFDO

Authors Fei Sun, Jingchao Li, Jieming Zhou

Published in arXiv

Mathematics Subject Classification ID

Abstract: In this paper, we extend to a special position space the convex risk measures introduced in F"{o}llmer and Schied cite{13} and the dynamic convex risk measures introduced in Detlefsen and Scandolo cite{9}. Since the risk in financial markets has become much more uncertain and volatile, we consider the risk measures on a special space $L^{p(cdot)}$, where the variable exponent $p(cdot)$ is no longer a given real number, as in the space $L^p$, but a random variable, which reflects the possible volatility of the financial markets. By further developing the axioms related to this class of risk measures, we are able to derive dual representation for them.

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