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...

When the price processes of the financial assets are described by possibly unbounded semimartingales, the classical concept of admissible trading strategies may lead to a trivial utility maximization problem because the set of stochastic integrals bounded from below may be reduced to the zero...

In a dynamic framework, we study the conditional version of the classical notion of certainty equivalent when the preferences are described by a stochastic dynamic utility u(x,t,ω). We introduce an appropriate mathematical setting, namely Orlicz spaces determined by the underlying preferences...

We discuss two issues about risk measures: we first point out an alternative interpretation of the penalty function in the dual representation of a risk measure; then we analyze the continuity properties of comonotone convex risk measures. In particular, due to the loss of convexity, local and...

Consider a dominated family of probability measures; we investigate the question of whether a single probability equivalent to the whole family exists. We show that for supermartingale, quasimartingale and martingale laws the answer is positive. We then provide a necessary and sufficient...

The evaluation of scientific research is crucial for both the academic community and society as a whole. Numerous bibliometric indices have been proposed for the ranking of research performance, mainly on an ad hoc basis. We now introduce the novel class of Scientific Research Measures (SRMs) to...