A note on robust representations of law-invariant quasiconvex functions

Drapeau, Samuel; Kupper, Michael; Reda, Ranja

A note on robust representations of law-invariant quasiconvex functions

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2011

Autor:innen

Drapeau, Samuel

Kupper, Michael

Reda, Ranja

DOI (zitierfähiger Link)

https://doi.org/10.1007/978-4-431-53930-8_2

Sammlungen

Mathematik und Statistik

Publikationstyp

Beitrag zu einem Sammelband

Publikationsstatus

Published

Erschienen in

KUSUOKA, Shigeo, ed., Toru MARUYAMA, ed.. Advances in Mathematical Economics. Tokyo: Springer, 2011, pp. 27-39. ISBN 978-4-431-53929-2. Available under: doi: 10.1007/978-4-431-53930-8_2

Zusammenfassung

We give robust representations of law-invariant monotone quasiconvex functions. The results are based on Jouini et al. (Adv Math Econ 9:49–71, 2006) and Svindland (Math Financ Econ, 2010), showing that law-invariant quasiconvex functions have the Fatou property.

Fachgebiet (DDC)

510 Mathematik

Schlagwörter

Fatou property, law-invariance, risk measure, robust representation

Zitieren

ISO 690

DRAPEAU, Samuel, Michael KUPPER, Ranja REDA, 2011. A note on robust representations of law-invariant quasiconvex functions. In: KUSUOKA, Shigeo, ed., Toru MARUYAMA, ed.. Advances in Mathematical Economics. Tokyo: Springer, 2011, pp. 27-39. ISBN 978-4-431-53929-2. Available under: doi: 10.1007/978-4-431-53930-8_2

BibTex

@incollection{Drapeau2011robus-55457,
  year={2011},
  doi={10.1007/978-4-431-53930-8_2},
  title={A note on robust representations of law-invariant quasiconvex functions},
  isbn={978-4-431-53929-2},
  publisher={Springer},
  address={Tokyo},
  booktitle={Advances in Mathematical Economics},
  pages={27--39},
  editor={Kusuoka, Shigeo and Maruyama, Toru},
  author={Drapeau, Samuel and Kupper, Michael and Reda, Ranja}
}

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