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Author
Koch-Medina, Pablo
Munari, Cosimo
Date
2014-01-09Type
- Working Paper
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Abstract
We characterize when a convex risk measure associated to a law-invariant acceptance set in L ∞ can be extended to L p , 1≤p<∞ , preserving finiteness and continuity. This problem is strongly connected to the statistical robustness of the corresponding risk measures. Special attention is paid to concrete examples including risk measures based on expected utility, max-correlation risk measures, and distortion risk measures Show more
Publication status
publishedJournal / series
arXivPages
Publisher
Cornell UniversitySubject
Extension of risk measures; Acceptance sets; Law invariance; Statistical robustness; Expected utility; Max-correlation risk measures; Distortion risk measuresOrganisational unit
03658 - Schweizer, Martin
Notes
Submitted on 14 January 2014.More
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