Continuity properties of law-invariant (quasi-)convex risk functions on L∞

By Gregor Svindland. 2010

61 citations recorded by the source corpus.

We study continuity properties of law-invariant (quasi-)convex functions $${f:L^\infty(\Omega, \mathcal{F}, \mathbb{P}) \to (-\infty,\infty]}$$ over a non-atomic probability space $${(\Omega, \mathcal{F}, \mathbb{P})}$$. This is a supplementary note to Jouini et al. (Adv Math Econ 9:49–71, 2006).

Subfields: Computational Theory and Mathematics, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/c9fbddf2ea3aeac0c76f4416c44b6e606556b91f

Citations in the corpus

• RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION (2014, unknown): “Jouini, Schachermayer, and Touzi (2006) and Filipovic and Svindland (2012), in the convex case, and Svindland (2010) in the quasi-convex case, showed that every law invariant risk measure is already weakly lower semicontinuous.”