We provide a dual representation of quasi-convex maps between two locally convex lattices of random variables, in terms of conditional expectations. This generalizes the dual representation of quasi-convex real valued functions and the dual representation of conditional convex maps. These results were inspired by the theory of dynamic measurements of risk and are applied in this context.
Dual representation of quasi-convex conditional maps / M. Frittelli, M. Maggis. - In: SIAM JOURNAL ON FINANCIAL MATHEMATICS. - ISSN 1945-497X. - 2:1(2011 May 24), pp. 357-382. [10.1137/09078033X]
Dual representation of quasi-convex conditional maps
M. FrittelliPrimo
;M. MaggisUltimo
2011
Abstract
We provide a dual representation of quasi-convex maps between two locally convex lattices of random variables, in terms of conditional expectations. This generalizes the dual representation of quasi-convex real valued functions and the dual representation of conditional convex maps. These results were inspired by the theory of dynamic measurements of risk and are applied in this context.File in questo prodotto:
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