Data di Pubblicazione:
2014
Citazione:
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]
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.
Tipologia IRIS:
01 - Articolo su periodico
Keywords:
quasiconvex functions; dual representation; complete duality, L0-modules; dynamic risk measures
Elenco autori:
M. Frittelli, M. Maggis
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