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

In the conditional setting we provide a complete duality between quasiconvex risk measures defined on L0 modules of the Lp 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:	Marco, Frittelli ; Marco, Maggis
Published in:	Statistics & Risk Modeling. - De Gruyter. - Vol. 31.2014, 1, p. 26-26
Publisher:	De Gruyter
Subject:	Quasiconvex functions \| dual representation \| complete duality \| L0-modules \| dynamic risk measures

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011015537