ON THE PENALTY FUNCTION AND ON CONTINUITY PROPERTIES OF RISK MEASURES

Marco Frittelli and Emanuela Rosazza Gianin
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Marco Frittelli: Dipartimento di Matematica, Università degli Studi di Milano, Via C. Saldini 50, 20122 Milano, Italy
Emanuela Rosazza Gianin: Dipartimento di Metodi Quantitativi, Università di Milano-Bicocca, Via Bicocca degli Arcimboldi 8, 20126 Milano, Italy

Chapter 12 in Finance at Fields, 2012, pp 283-305 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractWe discuss two issues about risk measures: we first point out an alternative interpretation of the penalty function in the dual representation of a risk measure; then we analyze the continuity properties of comonotone convex risk measures. In particular, due to the loss of convexity, local and global continuity are no more equivalent and many implications true for convex risk measures do not hold any more.

Keywords: Mathematical Finance; Financial Mathematics; Risk Management; Asset Pricing; Computational Finance; Derivatives; Option Pricing; Portfolio Optimization (search for similar items in EconPapers)
Date: 2012
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