On the extension property of dilatation monotone risk measures
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Massoomeh Rahsepar
Abstract
Let 𝒳 be a subset of
Funding source: Natural Sciences and Engineering Research Council of Canada
Award Identifier / Grant number: RGPIN-2019-05518
Funding statement: This research was supported by an NSERC Discovery Grant (RGPIN-2019-05518). This first author is also supported by an Ontario Graduate Scholarship.
Acknowledgements
The authors would like to thank Niushan Gao for valuable comments that improved the exposition of the manuscript.
We also thank an anonymous reviewer for the insightful observations that led to include the discussion on the finiteness of
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