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
- Download
- pdf (open science)