On the dual representation of coherent risk measures

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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...

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Bibliographic Details
Main Authors:	Ang, M., Sun, Jie, Yao, Q.
Format:	Journal Article
Published:	Springer New York LLC 2017
Online Access:	http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/52748

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