On the C‐property and w∗‐representations of risk measures
We identify a large class of Orlicz spaces LΦ(μ) for which the topology σ(LΦ(μ),LΦ(μ)n∼) fails the C‐property introduced by Biagini and Frittelli. We also establish a variant of the C‐property and use it to prove a w∗‐representation theorem for proper convex increasing functionals, satisfying a suit...
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| Veröffentlicht in: | Mathematical finance 2018-04, Vol.28 (2), p.748-754 |
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| container_title | Mathematical finance |
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| creator | Gao, Niushan Xanthos, Foivos |
| description | We identify a large class of Orlicz spaces LΦ(μ) for which the topology σ(LΦ(μ),LΦ(μ)n∼) fails the C‐property introduced by Biagini and Frittelli. We also establish a variant of the C‐property and use it to prove a w∗‐representation theorem for proper convex increasing functionals, satisfying a suitable version of Delbaen's Fatou property, on Orlicz spaces LΦ(μ) with limt→∞Φ(t)t=∞. Our results apply, in particular, to risk measures on all Orlicz spaces LΦ(P) other than L1(P). |
| doi_str_mv | 10.1111/mafi.12150 |
| format | Article |
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| ispartof | Mathematical finance, 2018-04, Vol.28 (2), p.748-754 |
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| language | eng |
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| source | Wiley Online Library Journals Frontfile Complete; Business Source Complete |
| subjects | C‐property Economic models Fritting Functionals Portfolio management Property Representations risk measures w∗‐representation |
| title | On the C‐property and w∗‐representations of risk measures |
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