ON QUASICONVEX CONDITIONAL MAPS. DUALITY RESULTS AND APPLICATIONS TO FINANCE

Motivated by many financial insights, we provide dual representation theorems for quasiconvex conditional maps defined on vector space or modules and taking values in sets of random variables. These results match the standard dual representation for quasiconvex real valued maps provided by Penot and Volle. As a financial byproduct, we apply this theory to the case of dynamic certainty equivalents and conditional risk measures.

Grantor dc:publisher

Università degli Studi di Milano

Year dc:date

2010

Author dc:creator

• M. Maggis

Contributors dc:contributor

• relatore: Marco Frittelli ; coordinatore: Vincenzo Capasso
• FRITTELLI, MARCO
• CAPASSO, VINCENZO

• Quasiconvex Maps
• Lattices
• Vector Spaces
• Modules
• Dual Representation
• Risk Measures
• Conditional Certainty Equivalent
• Settore MAT/06 - Probabilita' e Statistica Matematica
• Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie

Statement dc:rights

• info:eu-repo/semantics/openAccess

Language dc:language

eng

Identifier

10.13130/maggis-marco_phd2010-12-17

OAI identifier oai:identifier

oai:air.unimi.it:2434/150201