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Law-invariant risk measures: Extension properties and qualitative robustness

Author

Listed:
  • Koch-Medina Pablo

    (Department of Banking and Finance, University of Zurich, Plattenstrasse 14, 8032 Zurich, Switzerland)

  • Munari Cosimo

    (Department of Mathematics, ETH Zurich, Rämistrasse 101, 8092 Zurich, Switzerland)

Abstract

We characterize when a convex risk measure associated to a law-invariant acceptance set in L∞ can be extended to Lp, 1≤p

Suggested Citation

  • Koch-Medina Pablo & Munari Cosimo, 2014. "Law-invariant risk measures: Extension properties and qualitative robustness," Statistics & Risk Modeling, De Gruyter, vol. 31(3-4), pages 215-236, December.
    • Handle: RePEc:bpj:strimo:v:31:y:2014:i:3-4:p:22:n:4
    DOI: 10.1515/strm-2014-0002
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    References listed on IDEAS

    as
    1. Alfred Galichon & Ivar Ekeland & Marc Henry, 2009. "Comonotonic measures of multivariates risks," Working Papers hal-00401828, HAL.
    2. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2013. "Measuring risk with multiple eligible assets," Papers 1308.3331, arXiv.org, revised Mar 2014.
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    4. Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 593-606.
    5. repec:hal:wpspec:info:hdl:2441/5rkqqmvrn4tl22s9mc4b1h6b4 is not listed on IDEAS
    6. Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
    7. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2014. "Beyond cash-additive risk measures: when changing the numéraire fails," Finance and Stochastics, Springer, vol. 18(1), pages 145-173, January.
    8. repec:dau:papers:123456789/2278 is not listed on IDEAS
    9. repec:dau:papers:123456789/342 is not listed on IDEAS
    10. Volker Krätschmer & Alexander Schied & Henryk Zähle, 2014. "Comparative and qualitative robustness for law-invariant risk measures," Finance and Stochastics, Springer, vol. 18(2), pages 271-295, April.
    11. Krätschmer, Volker & Schied, Alexander & Zähle, Henryk, 2012. "Qualitative and infinitesimal robustness of tail-dependent statistical functionals," Journal of Multivariate Analysis, Elsevier, vol. 103(1), pages 35-47, January.
    12. Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Post-Print hal-00413729, HAL.
    13. repec:hal:spmain:info:hdl:2441/5rkqqmvrn4tl22s9mc4b1h6b4 is not listed on IDEAS
    14. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2012. "Beyond cash-additive risk measures: when changing the num\'{e}raire fails," Papers 1206.0478, arXiv.org, revised Feb 2014.
    15. Volker Kratschmer & Alexander Schied & Henryk Zahle, 2012. "Comparative and qualitative robustness for law-invariant risk measures," Papers 1204.2458, arXiv.org, revised Jan 2014.
    16. Pichler, Alois, 2013. "The natural Banach space for version independent risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 405-415.
    17. Dilip B. Madan & Alexander Cherny, 2010. "Markets As A Counterparty: An Introduction To Conic Finance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(08), pages 1149-1177.
    Full references (including those not matched with items on IDEAS)

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