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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.

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Metadaten
Author:Samuel Drapeau, Michael Kupper, Ranja Reda
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
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