Title of article
On the worst conditional expectation
Author/Authors
Akihiko Inoue، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2003
Pages
11
From page
237
To page
247
Abstract
We study continuous coherent risk measures on Lp, in particular, the worst conditional expectations.
We show some representation theorems for them, extending the results of Artzner, Delbaen,
Eber, Heath, and Kusuoka.
2003 Elsevier Inc. All rights reserved.
Keywords
Coherent risk measure , Worst conditional expectation , Neyman–Pearson lemma
Journal title
Journal of Mathematical Analysis and Applications
Serial Year
2003
Journal title
Journal of Mathematical Analysis and Applications
Record number
930826
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