The Canonical Model Space For Law-Invariant Convex Risk Measures Is L1
Filipovic, Damir; Svindland, Gregor
2012

Abstract

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.

Details

Title The Canonical Model Space For Law-Invariant Convex Risk Measures Is L1
Author(s) Filipovic, Damir ; Svindland, Gregor
Published in Mathematical Finance
Volume 22
Pages 585-589
Date 2012
Publisher Wiley-Blackwell
ISSN 0960-1627
DOI https://doi.org/10.1111/j.1467-9965.2012.00534.x
Other identifier(s) View record in Web of Science
Laboratories CSF
Record Appears in Scientific production and competences > CDM - College of Management of Technology > SFI - Swiss Finance Institute at EPFL > CSF - The Swissquote Chair in Quantitative Finance
Peer-reviewed publications
Work produced at EPFL
Journal Articles
Published
Record creation date 2012-06-29

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