A note on robust representations of law-invariant quasiconvex functions
A note on robust representations of law-invariant quasiconvex functions
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2011
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Advances in Mathematical Economics / Kusuoka, Shigeo; Maruyama, Toru (ed.). - Tokyo : Springer, 2011. - pp. 27-39. - ISBN 978-4-431-53929-2
Abstract
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.
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510 Mathematics
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Fatou property, law-invariance, risk measure, robust representation
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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, pp. 27-39. ISBN 978-4-431-53929-2. Available under: doi: 10.1007/978-4-431-53930-8_2BibTex
@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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