THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1

Damir Filipović · Gregor Svindland

85 citations0/0 files storedMathematical Finance

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Risk and Portfolio Optimization Stochastic processes and financial applications Probability and Risk Models

Abstract

In this paper, we establish a one‐to‐one correspondence between law‐invariant convex risk measures on L∞ and L1. This proves that the canonical model space for the predominant class of law‐invariant convex risk measures is L1.

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References

1999Coherent Measures of Risk 2002Convex measures of risk and trading constraints 2002Stochastic Finance: An Introduction in Discrete Time 2002Putting order in risk measures 2006Optimization of Convex Risk Functions 2000Coherent risk measures 2007Law invariant risk measures have the Fatou property 2002Stochastic Finance

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