ON THE WORST CONDITIONAL EXPECTATION

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

Abstract. We study continuous coherent risk measures on Lp, in particular, the worst conditional expectations. We show some representation theorems for them, extending the results of Artzner, Delbaen, Eber, Heath, and Kusuoka. 1.

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1999Coherent Measures of Risk 2002Coherent Risk Measures on General Probability Spaces 2001On law invariant coherent risk measures 2002Advances in finance and stochastics : essays in honour of Dieter Sondermann 2004Efficient hedging with coherent risk measure

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2004Dynamic Minimization of Worst Conditional Expectation of Shortfall

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