Law-invariant risk measures: extension properties and qualitative robustness

Pablo Koch-Medina and Cosimo Munari

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Abstract: We characterize when a convex risk measure associated to a law-invariant acceptance set in $L^\infty$ can be extended to $L^p$, $1\leq p

Date: 2014-01
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (5)

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