Dual characterization of properties of risk measures on Orlicz hearts

DOI10.1007/s11579-008-0013-7zbMath1181.91092OpenAlexW2030405249WikidataQ60163976 ScholiaQ60163976MaRDI QIDQ841649

Patrick Cheridito, Tianhui Li

Publication date: 18 September 2009

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-008-0013-7

zbMATH Keywords

stochastic ordersstrict convexityrisk measuresstrict monotonicityGâteaux-differentiabilityOrlicz hearts

Mathematics Subject Classification ID

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