On Supremal and Maximal Sets with Respect to Random Partial Orders

Kabanov, Youri; Lépinette, Emmanuel

Kabanov, Youri; Lépinette, Emmanuel (2015), On Supremal and Maximal Sets with Respect to Random Partial Orders, in Andreas H. Hamel, Frank Heyde, Andreas Löhne, Birgit Rudloff, Carola Schrage, Set Optimization and Applications - The State of the Art. From Set Relations to Set-Valued Risk Measures, Springer : Berlin Heidelberg, p. 275-291. 10.1007/978-3-662-48670-2_9

Type

Chapitre d'ouvrage

External document link

http://ssrn.com/abstract=2354855

Date

2015

Book title

Set Optimization and Applications - The State of the Art. From Set Relations to Set-Valued Risk Measures

Book author

Andreas H. Hamel, Frank Heyde, Andreas Löhne, Birgit Rudloff, Carola Schrage

Publisher

Springer

Published in

Berlin Heidelberg

Paris

ISBN

978-3-662-48668-9

Pages

275-291

Abstract (EN)

The paper deals with de nition of supremal sets in a rather general frameworkwhere deterministic and random preference relations (preorders) and partialorders are de ned by continuous multi-utility representations. It gives ashort survey of

Subjects / Keywords

Hedging; European/American options; Transaction costs; Random cones; Partial Order; Preference Relation