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

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.


Published in:
Mathematical Finance, 22, 585-589
Year:
2012
Publisher:
Wiley-Blackwell
ISSN:
0960-1627
Laboratories:




 Record created 2012-06-29, last modified 2018-03-17


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