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

Filipovic, DamirSvindland, Gregor2012-06-292012-06-292012-06-29201210.1111/j.1467-9965.2012.00534.xhttps://infoscience.epfl.ch/handle/20.500.14299/82460WOS:000304902600008In 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.The Canonical Model Space For Law-Invariant Convex Risk Measures Is L1text::journal::journal article::research article