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dc.contributor.authorEkeland, Ivar
dc.contributor.authorSchachermayer, Walter
dc.date.accessioned2012-07-11T15:14:32Z
dc.date.available2012-07-11T15:14:32Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9738
dc.language.isoenen
dc.subjectMonge–Kantorovich problemen
dc.subjectMonge–Kantorovich dualityen
dc.subjectrisk measuresen
dc.subjectlaw invarianceen
dc.subject.ddc332en
dc.subject.classificationjelD81en
dc.titleLaw invariant risk measures on L∞ (ℝd)en
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenKusuoka (2001) has obtained explicit representation theorems for comonotone risk measures and, more generally, for law invariant risk measures. These theorems pertain, like most of the previous literature, to the case of scalar-valued risks. Jouini, Meddeb, and Touzi (2004) and Burgert and Rüschendorf (2006) extended the notion of risk measures to the vector-valued case. Recently Ekeland, Galichon, and Henry (2009) and Rüschendorf (2006, 2010) obtained extensions of the above theorems of Kusuoka to this setting. Their results were confined to the regular case. In general, Kusuoka´s representation theorem for comonotone risk measures also involves a singular part. In the present work we give a full generalization of Kusuoka´s theorems to the vector-valued case. The singular component turns out to have a richer structure than in the scalar case.en
dc.relation.isversionofjnlnameStatistics & Risk Modeling
dc.relation.isversionofjnlvol28en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2011
dc.relation.isversionofjnlpages195-225en
dc.relation.isversionofdoihttp://dx.doi.org/10.1524/stnd.2011.1099en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherOldenbourg Wissenschaftsverlagen
dc.subject.ddclabelEconomie financièreen


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