Law Invariant Risk Measures Have the Fatou Property
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References listed on IDEAS
- Elyès Jouini & Clotilde Napp, 2004. "Conditional comonotonicity," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(2), pages 153-166, December.
- Volker Krätschmer, 2005. "Robust representation of convex risk measures by probability measures," Finance and Stochastics, Springer, vol. 9(4), pages 597-608, October.
- E. Jouini & W. Schachermayer & N. Touzi, 2008.
"Optimal Risk Sharing For Law Invariant Monetary Utility Functions,"
Wiley Blackwell, vol. 18(2), pages 269-292.
- Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2007. "Optimal Risk Sharing for Law Invariant Monetary Utility Functions," Working Papers halshs-00176606, HAL.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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KeywordsFatou property; risk measures;
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