Quasiconvex risk measures with markets volatility

Fei Sun and Yijun Hu

Papers from arXiv.org

Abstract: Since the quasiconvex risk measures is a bigger class than the well known convex risk measures, the study of quasiconvex risk measures makes sense especially in the financial markets with volatility. In this paper, we will study the quasiconvex risk measures defined on a special space $L^{p(\cdot)}$ where the variable exponent $p(\cdot)$ is no longer a given real number like the space $L^{p}$, but a random variable, which reflects the possible volatility of the financial markets. The dual representation for this quasiconvex risk measures will also provided.

Date: 2018-06, Revised 2019-06
New Economics Papers: this item is included in nep-rmg
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