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research article

Approaches to Conditional Risk

Filipovic, Damir  
•
Kupper, Michael
•
Vogelpoth, Nicolas
2012
SIAM Journal on Financial Mathematics

We present and compare two different approaches to conditional risk measures. One approach draws from convex analysis in vector spaces and presents risk measures as functions on Lp spaces, while the other approach utilizes module-based convex analysis where conditional risk measures are defined on Lp type modules. Both approaches utilize general duality theory for vector valued convex functions in contrast to the current literature in which we find ad hoc dual representations. By presenting several applications such as monotone and (sub)cash invariant hulls with corresponding examples we illustrate that module-based convex analysis is well suited to the concept of conditional risk measures.

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Type
research article
DOI
10.2139/ssrn.1752851
Author(s)
Filipovic, Damir  
•
Kupper, Michael
•
Vogelpoth, Nicolas
Date Issued

2012

Published in
SIAM Journal on Financial Mathematics
Volume

3

Start page

402

End page

432

Subjects

Conditional risk measures

•

L0-modules

•

Lp-modules

•

Monotone hulls

•

Subcash invariant hulls

•

Cash invariant hulls

Peer reviewed

NON-REVIEWED

Written at

EPFL

EPFL units
CSF  
Available on Infoscience
August 12, 2013
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/94047
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