ON QUASICONVEX CONDITIONAL MAPS. DUALITY RESULTS AND APPLICATIONS TO FINANCE

Tesi di Dottorato

Data di Pubblicazione:

2010

Citazione:

ON QUASICONVEX CONDITIONAL MAPS. DUALITY RESULTS AND APPLICATIONS TO FINANCE / M. Maggis ; relatore: Marco Frittelli ; coordinatore: Vincenzo Capasso. Universita' degli Studi di Milano, 2010 Dec 17. 23. ciclo, Anno Accademico 2010. [10.13130/maggis-marco_phd2010-12-17].

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.

Tipologia IRIS:

Tesi di dottorato

Keywords:

Quasiconvex Maps ; Lattices ; Vector Spaces ; Modules ; Dual Representation ; Risk Measures ; Conditional Certainty Equivalent

Elenco autori: