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

Review text

In this theoretical paper, the author extends some dual representations and continuity results which hold in the case of reflexive spaces to the class of non-reflexive Banach spaces. This allows for the presence of fat-tails or possible unbounded values as models for the random variables under study. Dual representations and continuity results are given for coherent and non-coherent convex risk measures.

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Cited in

(9)

• On efficient portfolio selection using convex risk measures
• Risk measures in ordered normed linear spaces with non-empty cone-interior
• Risk measuring under model uncertainty
• The natural Banach space for version independent risk measures
• Conditional risk and acceptability mappings as Banach-lattice valued mappings
• 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
• Systematic risk in pools
• Representations of set-valued risk measures defined on the l-tensor product of Banach lattices

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