On {sigma}-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model
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- Krätschmer, Volker, 2006. "Compactness in spaces of inner regular measures and a general Portmanteau lemma," SFB 649 Discussion Papers 2006-081, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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Cited by:
- Belomestny, Denis & Krätschmer, Volker, 2010. "Central limit theorems for law-invariant coherent risk measures," SFB 649 Discussion Papers 2010-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Nicole EL KAROUI & Claudia RAVANELLI, 2008. "Cash Sub-additive Risk Measures and Interest Rate Ambiguity," Swiss Finance Institute Research Paper Series 08-09, Swiss Finance Institute.
- repec:hum:wpaper:sfb649dp2010-052 is not listed on IDEAS
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JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2007-03-10 (Risk Management)
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