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
Hauptverfasser:	Gao, Niushan, Xanthos, Foivos
Format:	Artikel
Sprache:	eng
Schlagworte:	C‐property Economic models Fritting Functionals Portfolio management Property Representations risk measures w∗‐representation
Online-Zugang:	Volltext
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