Schur Convex Functionals: Fatou Property and Representation
affiliation not provided to SSRN
Stevens Institute of Technology - Department of Mathematical Sciences
Mathematical Finance, Vol. 22, Issue 2, pp. 411-418, 2012
The Fatou property for every Schur convex lower semicontinuous (l.s.c.) functional on a general probability space is established. As a result, the existing quantile representations for Schur convex l.s.c. positively homogeneous convex functionals, established on for either or and with the requirement of the Fatou property, are generalized for, with no requirement of the Fatou property. In particular, the existing quantile representations for law invariant coherent risk measures and law invariant deviation measures on an atomless probability space are extended for a general probability space.
Number of Pages in PDF File: 8
Keywords: Schur convexity, risk measures, quantile representation, deviation measures, error measuresAccepted Paper Series
Date posted: February 11, 2012
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