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THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L 1
Author(s) -
Filipović Damir,
Svindland Gregor
Publication year - 2012
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/j.1467-9965.2012.00534.x
Subject(s) - invariant (physics) , regular polygon , mathematics , pure mathematics , convex set , combinatorics , mathematical physics , convex optimization , geometry
In this paper, we establish a one‐to‐one correspondence between law‐invariant convex risk measures on L ∞ and L 1 . This proves that the canonical model space for the predominant class of law‐invariant convex risk measures is L 1 .
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