The Canonical Model Space for Law‐Invariant Convex Risk Measures is L
5 Pages Posted: 8 Jun 2012
Date Written: July 2012
Abstract
In this paper, we establish a one‐to‐one correspondence between law‐invariant convex risk measures on L∞ and L1. This proves that the canonical model space for the predominant class of law‐invariant convex risk measures is L1.
Suggested Citation: Suggested Citation
Filipovic, Damir and Svindland, Gregor, The Canonical Model Space for Law‐Invariant Convex Risk Measures is L (July 2012). Mathematical Finance, Vol. 22, Issue 3, pp. 585-589, 2012. Available at SSRN: https://ssrn.com/abstract=2079898 or http://dx.doi.org/10.1111/j.1467-9965.2012.00534.x
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The Canonical Model Space for Law‐Invariant Convex Risk Measures is L
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