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

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Date

2011

Authors

Drapeau, Samuel

Kupper, Michael

Reda, Ranja

Publication type

Contribution to a collection

Publication status

Published

Published in

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.

Subject (DDC)

510 Mathematics

Keywords

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

Cite This

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, 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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