IDEAS home Printed from https://ideas.repec.org/a/bla/mathfi/v28y2018i2p748-754.html
   My bibliography  Save this article

On the C†property and w∗†representations of risk measures

Author

Listed:
  • Niushan Gao
  • Foivos Xanthos

Abstract

We identify a large class of Orlicz spaces LΦ(μ) for which the topology σ(LΦ(μ),LΦ(μ)n∼) fails the C†property introduced by Biagini and Frittelli. We also establish a variant of the C†property and use it to prove a w∗†representation theorem for proper convex increasing functionals, satisfying a suitable version of Delbaen's Fatou property, on Orlicz spaces LΦ(μ) with limt→∞Φ(t)t=∞. Our results apply, in particular, to risk measures on all Orlicz spaces LΦ(P) other than L1(P).

Suggested Citation

  • Niushan Gao & Foivos Xanthos, 2018. "On the C†property and w∗†representations of risk measures," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 748-754, April.
    • Handle: RePEc:bla:mathfi:v:28:y:2018:i:2:p:748-754
    DOI: 10.1111/mafi.12150
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/mafi.12150
    Download Restriction: no
    File URL: https://libkey.io/10.1111/mafi.12150?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Felix-Benedikt Liebrich & Marco Maggis & Gregor Svindland, 2020. "Model Uncertainty: A Reverse Approach," Papers 2004.06636, arXiv.org, revised Mar 2022.
    2. Massoomeh Rahsepar & Foivos Xanthos, 2020. "On the extension property of dilatation monotone risk measures," Papers 2002.11865, arXiv.org.
    3. Ruodu Wang & Yunran Wei & Gordon E. Willmot, 2020. "Characterization, Robustness, and Aggregation of Signed Choquet Integrals," Mathematics of Operations Research, INFORMS, vol. 45(3), pages 993-1015, August.
    4. Martin Herdegen & Nazem Khan, 2020. "Mean-$\rho$ portfolio selection and $\rho$-arbitrage for coherent risk measures," Papers 2009.05498, arXiv.org, revised Jul 2021.
    5. Anastasis Kratsios, 2019. "Partial Uncertainty and Applications to Risk-Averse Valuation," Papers 1909.13610, arXiv.org, revised Oct 2019.
    6. Felix-Benedikt Liebrich & Max Nendel, 2020. "Separability vs. robustness of Orlicz spaces: financial and economic perspectives," Papers 2009.09007, arXiv.org, revised May 2021.
    7. Niushan Gao & Foivos Xanthos, 2024. "A note on continuity and asymptotic consistency of measures of risk and variability," Papers 2405.09766, arXiv.org, revised Oct 2024.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:28:y:2018:i:2:p:748-754. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.