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.
| File | Dimensione | Formato | |
|---|---|---|---|
|
phd.unimi.R07605.pdf
accesso aperto
Tipologia:
Tesi di dottorato completa
Dimensione
563.18 kB
Formato
Adobe PDF
|
563.18 kB | Adobe PDF | Visualizza/Apri |
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
