Motivated by many financial insights, we provide dual representation theorems for quasiconvex conditional maps defined on vector space or modules and taking values in sets of random variables. These results match the standard dual representation for quasiconvex real valued maps provided by Penot and Volle. As a financial byproduct, we apply this theory to the case of dynamic certainty equivalents and conditional risk measures.

ON QUASICONVEX CONDITIONAL MAPS. DUALITY RESULTS AND APPLICATIONS TO FINANCE / M. Maggis ; relatore: Marco Frittelli ; coordinatore: Vincenzo Capasso. Universita' degli Studi di Milano, 2010 Dec 17. 23. ciclo, Anno Accademico 2010. [10.13130/maggis-marco_phd2010-12-17].

ON QUASICONVEX CONDITIONAL MAPS. DUALITY RESULTS AND APPLICATIONS TO FINANCE

M. Maggis
2010

Abstract

Motivated by many financial insights, we provide dual representation theorems for quasiconvex conditional maps defined on vector space or modules and taking values in sets of random variables. These results match the standard dual representation for quasiconvex real valued maps provided by Penot and Volle. As a financial byproduct, we apply this theory to the case of dynamic certainty equivalents and conditional risk measures.
17-dic-2010
Settore MAT/06 - Probabilita' e Statistica Matematica
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
Quasiconvex Maps ; Lattices ; Vector Spaces ; Modules ; Dual Representation ; Risk Measures ; Conditional Certainty Equivalent
FRITTELLI, MARCO
CAPASSO, VINCENZO
Doctoral Thesis
ON QUASICONVEX CONDITIONAL MAPS. DUALITY RESULTS AND APPLICATIONS TO FINANCE / M. Maggis ; relatore: Marco Frittelli ; coordinatore: Vincenzo Capasso. Universita' degli Studi di Milano, 2010 Dec 17. 23. ciclo, Anno Accademico 2010. [10.13130/maggis-marco_phd2010-12-17].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/150201
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