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Dilatation monotone risk measures are law invariant


  • Alexander Cherny


  • Pavel Grigoriev



No abstract is available for this item.

Suggested Citation

  • Alexander Cherny & Pavel Grigoriev, 2007. "Dilatation monotone risk measures are law invariant," Finance and Stochastics, Springer, vol. 11(2), pages 291-298, April.
  • Handle: RePEc:spr:finsto:v:11:y:2007:i:2:p:291-298
    DOI: 10.1007/s00780-007-0034-8

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    References listed on IDEAS

    1. Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July.
    2. L. Randall Wray & Stephanie Bell, 2004. "Introduction," Chapters,in: Credit and State Theories of Money, chapter 1 Edward Elgar Publishing.
    3. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    4. Philippe Robert-Demontrond & R. Ringoot, 2004. "Introduction," Post-Print halshs-00081823, HAL.
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    Cited by:

    1. Grigorova Miryana, 2014. "Stochastic dominance with respect to a capacity and risk measures," Statistics & Risk Modeling, De Gruyter, vol. 31(3-4), pages 1-37, December.
    2. Emmanuel Lepinette & Ilya Molchanov, 2016. "Risk Arbitrage and Hedging to Acceptability," Papers 1605.07884,, revised Jun 2016.
    3. Miryana Grigorova, 2011. "Stochastic dominance with respect to a capacity and risk measures," Working Papers hal-00639667, HAL.
    4. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007,, revised May 2016.

    More about this item


    Coherent risk measures; Convex risk measures; Dilatation monotonicity; Factor monotonicity; Fatou property; Law invariance; Second-order stochastic dominance; G32; 91B16; 91B30;

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill


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