Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type

Details Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type

2012-01-09

arxiv.org/abs/1201.1788v1

Economy

Quantitative Finance

Risk Management

Scientific paper

We provide a dual representation of quasiconvex conditional risk measures $% \rho $ defined on $L^{0}$ modules of the $L^{p}$ type. This is a consequence of more general result which extend the usual Penot-Volle representation for quasiconvex real valued maps. We establish, in the conditional setting, a complete duality between quasiconvex risk measures and the appropriate class of dual functions.

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