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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.
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Type
research article
Web of Science ID
WOS:000304902600008
Authors
Publication date
2012
Publisher
Published in
Volume
22
Start page
585
End page
589
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
June 29, 2012