Complete duality for quasiconvex dynamic risk measures on modules of the L p -type

Abstract In the conditional setting we provide a complete duality between quasiconvex risk measures defined on L 0 modules of the L p type and the appropriate class of dual functions. This is based on a general result which extends the usual Penot-Volle representation for quasiconvex real valued maps.

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Year of publication:	2014
Authors:	Frittelli, Marco ; Maggis, Marco
Published in:	Statistics & Risk Modeling. - De Gruyter, ISSN 2196-7040, ZDB-ID 2630803-4. - Vol. 31.2014, 1, p. 103-128
Publisher:	De Gruyter
Subject:	Quasiconvex functions \| dual representation \| complete duality \| L 0 -modules \| dynamic risk measures

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.1515/strm-2013-1163 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014621222