Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type
Risk Management
2012-09-06 v2 Probability
Abstract
In the conditional setting we provide a complete duality between quasiconvex risk measures defined on modules of the type and the appropriate class of dual functions. This is based on a general result which extends the usual Penot-Volle representation for quasiconvex real valued maps.
Keywords
Cite
@article{arxiv.1201.1788,
title = {Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type},
author = {Marco Frittelli and Marco Maggis},
journal= {arXiv preprint arXiv:1201.1788},
year = {2012}
}