In the conditional setting we provide a complete duality between quasiconvex riskmeasures defined on L0 modules of the Lp type and the appropriate class of dual functions. This is based on a general result which extends the usual Penot-Volle representation for quasiconvex real valued maps.
Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type / M. Frittelli, M. Maggis. - In: STATISTICS & RISK MODELING. - ISSN 2193-1402. - 31:1(2014), pp. 103-128. [10.1515/strm-2013-1163]
Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type
M. FrittelliPrimo
;M. MaggisUltimo
2014
Abstract
In the conditional setting we provide a complete duality between quasiconvex riskmeasures defined on L0 modules of the Lp type and the appropriate class of dual functions. This is based on a general result which extends the usual Penot-Volle representation for quasiconvex real valued maps.File in questo prodotto:
File | Dimensione | Formato | |
---|---|---|---|
Pubblicazione6.pdf
accesso riservato
Tipologia:
Publisher's version/PDF
Dimensione
708.97 kB
Formato
Adobe PDF
|
708.97 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
1201.1788.pdf
accesso aperto
Tipologia:
Pre-print (manoscritto inviato all'editore)
Dimensione
275.41 kB
Formato
Adobe PDF
|
275.41 kB | Adobe PDF | Visualizza/Apri |
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.