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. - Milano : Ledizioni LediPublishing, 2011. - ISBN 9788895994598.

On quasiconvex conditional maps : duality results and applications to Finance

M. Maggis
Primo
2011

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.
2011
Quasiconvex Maps ; Lattices ; Vector Spaces ; Modules ; Dual Representation ; Risk Measures ; Conditional Certainty Equivalent
Settore MAT/06 - Probabilita' e Statistica Matematica
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
http://hdl.handle.net/2434/150201
On quasiconvex conditional maps : duality results and applications to Finance / M. Maggis. - Milano : Ledizioni LediPublishing, 2011. - ISBN 9788895994598.
Book (author)
File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/159398
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact