On s-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model
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References listed on IDEAS
- Marco Frittelli & Giacomo Scandolo, 2006. "Risk Measures And Capital Requirements For Processes," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 589-612.
- Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Convex Risk Functions," Risk and Insurance 0404001, EconWPA, revised 08 Oct 2005.
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- repec:dau:papers:123456789/342 is not listed on IDEAS
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KeywordsConvex risk measures; model uncertainty; s-additive robust representation; Fatou property; nonsequential Fatou property; strong s-additive robust representation; Krein-Smulian theorem; Greco theorem; inner Daniell stone theorem; general Dini theorem; Simons’ lemma.;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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