Short note on inf-convolution preserving the Fatou property

DOI10.1007/s10436-008-0107-5zbMath1233.91138OpenAlexW1990487872MaRDI QIDQ666299

Beatrice Acciaio

Publication date: 8 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-008-0107-5

zbMATH Keywords

convolutionFatou propertymonetary utility functionsFenchel-Legendre transform

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Related Items (5)

Convex risk measures on Orlicz spaces: inf-convolution and shortfall ⋮ The operation of infimal/supremal convolution in mathematical economics ⋮ Risk sharing for capital requirements with multidimensional security markets ⋮ The strong Fatou property of risk measures ⋮ Law-Invariant Functionals on General Spaces of Random Variables

Cites Work

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• Optimal capital and risk allocations for law- and cash-invariant convex functions
• Convex measures of risk and trading constraints
• Optimal risk sharing with non-monotone monetary functionals
• Inf-convolution of risk measures and optimal risk transfer
• Coherent Measures of Risk
• Law invariant risk measures have the Fatou property
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
• Finitely Additive Measures
• Stochastic finance. An introduction in discrete time

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