A note on continuity and asymptotic consistency of measures of risk and variability

In this short note, we show that every convex, order-bounded above functional on a Fréchet lattice is automatically continuous. This improves a result in Ruszczyński and Shapiro ((2006) Mathematics of Operations Research 31(3), 433-452.) and applies to many deviation and variability measures. We also show that an order-continuous, law-invariant functional on an Orlicz space is strongly consistent everywhere, extending a result in Krätschmer et al. ((2017) Finance and Stochastics 18(2), 271-295.).