Okhrati, R., Assa, H. (2017) Representation and approximation of convex dynamic risk measures with respect to strong–weak topologies. Stochastic Analysis and Applications, 35 (4). pp. 604-614. ISSN 0736-2994. (doi:10.1080/07362994.2017.1289104) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:87566)
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Official URL: http://dx.doi.org/10.1080/07362994.2017.1289104 |
Abstract
We provide a representation for strong-weak continuous dynamic risk measures from Lp into Lp t spaces where these spaces are equipped respectively with strong and weak topologies and p is a finite number strictly larger than one. Conversely, we show that any such representation that admits a compact (with respect to the product of weak topologies) sub-differential generates a dynamic risk measure that is strong--weak continuous. Furthermore, we investigate sufficient conditions on the sub-differential for which the essential supremum of the representation is attained. Finally, the main purpose is to show that any convex dynamic risk measure that is strong-weak continuous can be approximated by a sequence of convex dynamic risk measures which are strong--weak continuous and admit compact sub-differentials with respect to the product of weak topologies. Throughout the arguments, no conditional translation invariance or monotonicity assumptions are applied. © 2017 Taylor & Francis Group, LLC.
Item Type: | Article |
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DOI/Identification number: | 10.1080/07362994.2017.1289104 |
Uncontrolled keywords: | Convexity; dynamic risk measures; representation theorem; sub-differential; weak and strong continuity; |
Subjects: | H Social Sciences |
Divisions: | Divisions > Kent Business School - Division > Department of Accounting and Finance |
Depositing User: | Hirbod Assa |
Date Deposited: | 29 Apr 2021 11:39 UTC |
Last Modified: | 04 Mar 2024 19:59 UTC |
Resource URI: | https://kar.kent.ac.uk/id/eprint/87566 (The current URI for this page, for reference purposes) |
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