Touzi, Nizar; Schachermayer, Walter; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2006
S. Kusuoka [K 01, Theorem 4] gave an interesting dual characterizationof law invariant coherent risk measures, satisfying the Fatou property.The latter property was introduced by F. Delbaen [D 02]. In thepresent note we extend Kusuoka's characterization in two directions, thefirst one being...
