A Note on Robust Representations of Law-Invariant Quasiconvex Functions
Please always quote using this URN:urn:nbn:de:0296-matheon-6977
- We give robust representations of law-invariant monotone quasiconvex functions. The results are based on works by Jouini et al. and Svindland, showing that lawinvariant quasiconvex functions have the Fatou property.
Author: | Samuel Drapeau, Michael Kupper, Ranja Reda |
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URN: | urn:nbn:de:0296-matheon-6977 |
Referee: | Dirk Becherer |
Document Type: | Preprint, Research Center Matheon |
Language: | English |
Date of first Publication: | 2010/06/29 |
Release Date: | 2010/10/06 |
Tag: | |
MSC-Classification: | 91-XX GAME THEORY, ECONOMICS, SOCIAL AND BEHAVIORAL SCIENCES / 91Bxx Mathematical economics (For econometrics, see 62P20) / 91B30 Risk theory, insurance |
91-XX GAME THEORY, ECONOMICS, SOCIAL AND BEHAVIORAL SCIENCES / 91Gxx Mathematical finance / 91G99 None of the above, but in this section | |
Preprint Number: | 705 |