Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type

Marco Frittelli and Marco Maggis

Papers from arXiv.org

Abstract: In the conditional setting we provide a complete duality between quasiconvex risk measures defined on $L^{0}$ modules of the $L^{p}$ 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.

Date: 2012-01, Revised 2012-09
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/1201.1788 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1201.1788

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().