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, October.
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Mathematics of Operations Research, INFORMS, vol. 31(3), pages 433-452, August.
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Cited by:
- Nicole EL KAROUI & Claudia RAVANELLI, 2008. "Cash Sub-additive Risk Measures and Interest Rate Ambiguity," Swiss Finance Institute Research Paper Series 08-09, Swiss Finance Institute.
- Denis Belomestny & Volker Krätschmer, 2010. "Central limit theorems for law-invariant coherent risk measures," SFB 649 Discussion Papers SFB649DP2010-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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Keywords
Convex 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.;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2007-03-10 (Risk Management)
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