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...

Introduced by Artzner et al. (1998) the axiomatic characterization of a static coherent risk measure was extended by Jouini et al. (2004) in a multi-dimensional setting to the concept of vector-valued risk measures. In this paper, we propose a dynamic version of the vector-valued risk measures...

American options in a multi-asset market model with proportional transaction costs are studied in the case when the holder of an option is able to exercise it gradually at a so-called mixed (randomized) stopping time. The introduction of gradual exercise leads to tighter bounds on the option...

Multi-period risk functionals assign a risk value to discrete-time stochastic processes. While convexity and monotonicity extend in straightforward manner from the single-period case, the role of information is more problematic in the multi-period situation. In this paper, we define multi-period...

Introduced by Artzner et al. (1998) the axiomatic characterization of a static coherent risk measure was extended by Jouini et al. (2004) in a multi-dimensional setting to the concept of vector-valued risk measures. In this paper, we propose a dynamic version of the vector-valued risk measures...

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.