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- W3200561342 abstract "We present and compare two di erent approaches to conditional risk measures. One approach draws from convex analysis in vector spaces and presents risk measures as functions on Lp spaces, while the other approach utilizes module-based convex analysis where conditional risk measures are de ned on Lp type modules. Both approaches utilize general duality theory for vector valued convex functions in contrast to the current literature in which we find ad hoc dual representations. By presenting several applications such as monotone and (sub)cash invariant hulls with corresponding examples we illustrate that module-based convex analysis is well suited to the concept of conditional risk measures." @default.
- W3200561342 created "2021-09-27" @default.
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- W3200561342 date "2011-01-01" @default.
- W3200561342 modified "2023-10-02" @default.
- W3200561342 title "Approaches to conditional risk" @default.
- W3200561342 hasPublicationYear "2011" @default.
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