Artikel
Lizenziert
Nicht lizenziert
Erfordert eine Authentifizierung
Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type
-
Marco Frittelli
und
Marco Maggis
Veröffentlicht/Copyright:
28. März 2014
Abstract
In the conditional setting we provide a complete duality between quasiconvex risk measures defined on L0 modules of the Lp type and the appropriate class of dual functions. This is based on a general result which extends the usual Penot-Volle representation for quasiconvex real valued maps.
Keywords: Quasiconvex functions; dual representation; complete duality; L0-modules; dynamic risk measures
Received: 2013-4-10
Accepted: 2013-7-10
Published Online: 2014-3-28
Published in Print: 2014-3-28
©2014 Walter de Gruyter Berlin/Boston
Sie haben derzeit keinen Zugang zu diesem Inhalt.
Sie haben derzeit keinen Zugang zu diesem Inhalt.
Artikel in diesem Heft
- Frontmatter
- Special Issue on Systemic Risk
- Foreword
- Central clearing of OTC derivatives: Bilateral vs multilateral netting
- Optimal control of interbank contagion under complete information
- On dependence consistency of CoVaRand some other systemic risk measures
- Spatial risk measures and their local specification: The locally law-invariant case
- Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type
Schlagwörter für diesen Artikel
Quasiconvex functions;
dual representation;
complete duality;
L0-modules;
dynamic risk measures
Artikel in diesem Heft
- Frontmatter
- Special Issue on Systemic Risk
- Foreword
- Central clearing of OTC derivatives: Bilateral vs multilateral netting
- Optimal control of interbank contagion under complete information
- On dependence consistency of CoVaRand some other systemic risk measures
- Spatial risk measures and their local specification: The locally law-invariant case
- Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type
