On the 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...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Springer New York LLC
2017
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| Online Access: | http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/52748 |