We introduce a generalised subgradient for law-invariant closed convex risk measures on L1 and establish its relationship with optimal risk allocations and equilibria. Our main result gives sufficient conditions ensuring a non-empty generalised subgradient
The risk of financial positions is measured by the minimum amount of capital to raise and invest in ...
The risk of financial positions is measured by the minimum amount of capital to raise and invest in ...
We study continuity properties of law-invariant (quasi-)convex functions $${f:L^\infty(\Omega, \math...
We introduce a generalised subgradient for law-invariant closed convex risk measures on L1 and estab...
Convex risk measures are best known on L∞. In this paper we argue that Lp, for p ∈ [1,∞), is a more ...
In this paper we establish a one-to-one correspondence between law-invariant convex risk measures on...
In this paper we provide the complete solution to the existence and characterisation problem of opti...
Much of the recent literature on risk measures is concerned with essentially bounded risks in L ∞. I...
We provide a representation theorem for convex risk measures defined on L^{p}(Ω,F,P) spaces, 1≤p≤+∞,...
Measures of risk appear in two categories: Risk capital measures serve to determine the necessary am...
As a generalization of a result by Kusuoka (2001), we provide the representation of law invariant co...
In the present contribution, we characterise law determined convex risk measures that have convex l...
In this paper we survey some recent developments on risk measures for portfolio vectors and on the a...
We study continuity properties of law-invariant (quasi-)convex functions f : L1(Ω,F, P) to ( ∞,∞] ov...
The analysis and interpretation of risk play a crucial role in different areas of modern finance. Th...
The risk of financial positions is measured by the minimum amount of capital to raise and invest in ...
The risk of financial positions is measured by the minimum amount of capital to raise and invest in ...
We study continuity properties of law-invariant (quasi-)convex functions $${f:L^\infty(\Omega, \math...
We introduce a generalised subgradient for law-invariant closed convex risk measures on L1 and estab...
Convex risk measures are best known on L∞. In this paper we argue that Lp, for p ∈ [1,∞), is a more ...
In this paper we establish a one-to-one correspondence between law-invariant convex risk measures on...
In this paper we provide the complete solution to the existence and characterisation problem of opti...
Much of the recent literature on risk measures is concerned with essentially bounded risks in L ∞. I...
We provide a representation theorem for convex risk measures defined on L^{p}(Ω,F,P) spaces, 1≤p≤+∞,...
Measures of risk appear in two categories: Risk capital measures serve to determine the necessary am...
As a generalization of a result by Kusuoka (2001), we provide the representation of law invariant co...
In the present contribution, we characterise law determined convex risk measures that have convex l...
In this paper we survey some recent developments on risk measures for portfolio vectors and on the a...
We study continuity properties of law-invariant (quasi-)convex functions f : L1(Ω,F, P) to ( ∞,∞] ov...
The analysis and interpretation of risk play a crucial role in different areas of modern finance. Th...
The risk of financial positions is measured by the minimum amount of capital to raise and invest in ...
The risk of financial positions is measured by the minimum amount of capital to raise and invest in ...
We study continuity properties of law-invariant (quasi-)convex functions $${f:L^\infty(\Omega, \math...
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