Constrained dual representation of coherent risk measures
A classical result in risk measure theory states that every coherent risk measure has a dual representation as the supremum of certain expected value over a risk envelope. We study this topic in more detail. The related issues include: (1) Set operations of risk envelopes and how they change the ris...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2018
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/4490 https://ink.library.smu.edu.sg/context/lkcsb_research/article/5489/viewcontent/101007_2Fs10479_017_2441_3.pdf |
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| Institution: | Singapore Management University |
| Language: | English |