IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v14y2011i01ns0219024911006309.html
   My bibliography  Save this article

On The Penalty Function And On Continuity Properties Of Risk Measures

Author

Listed:
  • MARCO FRITTELLI

    (Dipartimento di Matematica, Università degli Studi di Milano, Via C. Saldini 50, 20122 Milano, Italy)

  • EMANUELA ROSAZZA GIANIN

    (Dipartimento di Metodi Quantitativi, Università di Milano-Bicocca, Via Bicocca degli Arcimboldi 8, 20126 Milano, Italy)

Abstract

We discuss two issues about risk measures: we first point out an alternative interpretation of the penalty function in the dual representation of a risk measure; then we analyze the continuity properties of comonotone convex risk measures. In particular, due to the loss of convexity, local and global continuity are no more equivalent and many implications true for convex risk measures do not hold any more.

Suggested Citation

  • Marco Frittelli & Emanuela Rosazza Gianin, 2011. "On The Penalty Function And On Continuity Properties Of Risk Measures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(01), pages 163-185.
    • Handle: RePEc:wsi:ijtafx:v:14:y:2011:i:01:n:s0219024911006309
    DOI: 10.1142/S0219024911006309
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219024911006309
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219024911006309?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
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

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


    Cited by:

    1. Dmitry B. Rokhlin, 2011. "On the game interpretation of a shadow price process in utility maximization problems under transaction costs," Papers 1112.2406, arXiv.org, revised Dec 2011.
    2. Dmitry Rokhlin, 2013. "On the game interpretation of a shadow price process in utility maximization problems under transaction costs," Finance and Stochastics, Springer, vol. 17(4), pages 819-838, October.

    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:wsi:ijtafx:v:14:y:2011:i:01:n:s0219024911006309. 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: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

    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.