Risk measures on ordered non-reflexive Banach spaces

DOI10.1016/J.JMAA.2010.08.013MaRDI QIDQ711026zbMATH OpenOpenAlexFDO

Authors Christos E. Kountzakis

Publication date 25 October 2010

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2010.08.013

zbMATH Keywords

base of a conecoherent and convex risk measuresdual representation of risk measuresnumeraire asset

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 1351867 (Why is no real title available?)
• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• scientific article; zbMATH DE number 1795125 (Why is no real title available?)
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• Convex measures of risk and trading constraints
• Demand functions and reflexivity
• Efficient hedging with coherent risk measure
• Expected shortfall and beyond
• Fundamental Theorems of Asset Pricing for Good Deal Bounds
• On convex risk measures on \(L^{p}\)-spaces
• On the Structure of Locally Solid Topologies
• On the extension of the Namioka-Klee theorem and on the Fatou property for risk measures
• On the optimal risk allocation problem
• On the worst conditional expectation.
• Ordered linear spaces
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• RISK MEASURES ON ORLICZ HEARTS
• Relevant coherent measures of risk
• Risk measures in ordered normed linear spaces with non-empty cone-interior
• Shortfall as a risk measure: properties, optimization and applications
• Stochastic finance. An introduction in discrete time

Cited in

(8)

• Conditional risk and acceptability mappings as Banach-lattice valued mappings
• The natural Banach space for version independent risk measures
• Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices
• Risk measuring under model uncertainty
• On efficient portfolio selection using convex risk measures
• On the extension of the Namioka-Klee theorem and on the Fatou property for risk measures
• Coherent risk measures in general economic models and price bubbles
• Risk measures in ordered normed linear spaces with non-empty cone-interior

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