Touzi, Nizar; Schachermayer, Walter; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2006
, satisfying the Fatou property.The latter property was introduced by F. Delbaen [D 02]. In thepresent note we extend Kusuoka … — we show that the hypothesis of Fatou property may actually be dropped as it is automatically implied by the hypothesis of … law invariance.We also introduce the notion of the Lebesgue property of a convex risk measure, where the inequality in the …