Title of article :
On the worst conditional expectation
Author/Authors :
Akihiko Inoue، نويسنده ,
Issue Information :
دوهفته نامه با شماره پیاپی سال 2003
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
Journal title :
Journal of Mathematical Analysis and Applications
