research article

The Canonical Model Space For Law-Invariant Convex Risk Measures Is L1

Filipovic, Damir  orcid-logo
•
Svindland, Gregor
2012
Mathematical Finance

In this paper, we establish a one-to-one correspondence between law-invariant convex risk measures on L8 and L1. This proves that the canonical model space for the predominant class of law-invariant convex risk measures is L1.

Cite this item

Filipovic, D., & Svindland, G. (2012). The Canonical Model Space For Law-Invariant Convex Risk Measures Is L1. Mathematical Finance, 22, 585–589. https://doi.org/10.1111/j.1467-9965.2012.00534.x

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Type
research article
DOI
10.1111/j.1467-9965.2012.00534.x
Web of Science ID

WOS:000304902600008

Author(s)
Filipovic, Damir  orcid-logo
Svindland, Gregor
Date Issued

2012

Publisher

Wiley-Blackwell

Published in
Mathematical Finance
Volume

22

Start page

585

End page

589

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
CSF  
Available on Infoscience
June 29, 2012
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/82460