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ArticleLebesgue property for convex risk measures on Orlicz spaces

José Orihuela2012

Article2012

Lebesgue property for convex risk measures on Orlicz spaces

José Orihuela · Manuel Ruiz Galán

37 citations·0/0 files stored·Mathematics and Financial Economics

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

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References

2002Stochastic Finance: An Introduction in Discrete Time 2004Stochastic Finance 2000Coherent risk measures 2007Law invariant risk measures have the Fatou property 2009RISK MEASURES ON ORLICZ HEARTS 2009On the Extension of the Namioka-Klee Theorem and on the Fatou Property for Risk Measures 2008A Unified Framework for Utility Maximization Problems: an Orlicz Space Approach 2008A unified framework for utility maximization problems: An Orlicz space approach

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Year2012

Typearticle

Published2012-01-23

VenueMathematics and Financial Economics

ISSN-L1862-9660

Languageen

Citations37

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s11579-012-0058-5

openalex_workW2016126463

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