A Note on Robust Representations of Law-Invariant Quasiconvex Functions


Authors
Samuel Drapeau, Michael Kupper and Ranja Reda
Date
2011
Journal
Advances in Mathematical Economics, 15:27-39
Abstract
We give robust representations of law-invariant monotone quasiconvex functions. The results are based on Jouini, Schachermayer and Touzi (2006) and Svindland (2010) showing that lawinvariant quasiconvex functions have the Fatou property.
Keywords
Fatou property, law-invariance, risk measure, robust representation
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