Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type

Frittelli Marco () and Maggis Marco ()
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Frittelli Marco: Dipartimento di Matematica, Università degli Studi di Milano
Maggis Marco: Dipartimento di Matematica Università degli Studi di Milano

Statistics & Risk Modeling, 2014, vol. 31, issue 1, 103-128

Abstract: In the conditional setting we provide a complete duality between quasiconvex risk measures 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.

Keywords: Quasiconvex functions; dual representation; complete duality; L0-modules; dynamic risk measures; Quasiconvex functions; dual representation; complete duality; L0-modules; dynamic risk measures (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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DOI: 10.1515/strm-2013-1163

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