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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

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  • Krätschmer, Volker, 2007. "On {sigma}-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model," SFB 649 Discussion Papers 2007-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2007-010
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    File URL: https://www.econstor.eu/bitstream/10419/25182/1/52537874X.PDF
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    References listed on IDEAS

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    1. Marco Frittelli & Giacomo Scandolo, 2006. "Risk Measures And Capital Requirements For Processes," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 589-612, October.
    2. 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.
    3. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Convex Risk Functions," Risk and Insurance 0404001, University Library of Munich, Germany, revised 08 Oct 2005.
    4. Andrzej Ruszczyński & Alexander Shapiro, 2006. "Optimization of Convex Risk Functions," Mathematics of Operations Research, INFORMS, vol. 31(3), pages 433-452, August.
    5. Riedel, Frank, 2004. "Dynamic coherent risk measures," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 185-200, August.
    6. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    7. Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
    8. repec:dau:papers:123456789/342 is not listed on IDEAS
    9. Stefan Weber, 2006. "Distribution‐Invariant Risk Measures, Information, And Dynamic Consistency," Mathematical Finance, Wiley Blackwell, vol. 16(2), pages 419-441, April.
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    Cited by:

    1. 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.
    2. repec:hum:wpaper:sfb649dp2010-052 is not listed on IDEAS
    3. 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.

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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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