research article
The Canonical Model Space For Law-Invariant Convex Risk Measures Is L1
2012
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.
Type
research article
Web of Science ID
WOS:000304902600008
Author(s)
Svindland, Gregor
Date Issued
2012
Publisher
Published in
Volume
22
Start page
585
End page
589
Editorial or Peer reviewed
REVIEWED
Written at
EPFL
EPFL units
Available on Infoscience
June 29, 2012
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