A Note on Robust Representations of Law-Invariant Quasiconvex Functions
Please always quote using this URN:urn:nbn:de:0296-matheon-7950
- We give robust representations of law-invariant monotone quasiconvex functions. The results are based on Jouini et al. and Svindland, showing that law invariant quasiconvex functions have the Fatou property.
| Author: | Samuel Drapeau, Michael Kupper, Ranja Reda |
|---|---|
| URN: | urn:nbn:de:0296-matheon-7950 |
| Referee: | Dirk Becherer |
| Document Type: | Preprint, Research Center Matheon |
| Language: | English |
| Date of first Publication: | 2011/03/10 |
| Release Date: | 2011/03/10 |
| Tag: | |
| Institute: | Humboldt-Universität zu Berlin |
| MSC-Classification: | 91-XX GAME THEORY, ECONOMICS, SOCIAL AND BEHAVIORAL SCIENCES / 91Bxx Mathematical economics (For econometrics, see 62P20) / 91B30 Risk theory, insurance |
| Preprint Number: | 773 |
