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Rearrangement Invariant, Coherent Risk Measures on L<sup>0</sup>
Department of Mathematics, University of the Aegean, Karlovassi, Greece
Department of Mathematics, University of the Aegean, Karlovassi, Greece
- 1 Department of Mathematics, University of the Aegean, Karlovassi, Greece
- 2 Department of Mathematics, University of the Aegean, Karlovassi, Greece
Journal of Financial Risk Management·Volume 04 (2015)·Pages 22–25·Published 11 February 2015·DOI10.4236/jfrm.2015.41003
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Abstract
By this paper, we give an answer to the problem of definition of coherent risk measures on rearrangement invariant, solid subspaces of L <sup>0</sup> with respect to some atom less probability space . This problem was posed by F. Delbaen, while in this paper we proposed a solution via ideals of L0 and the class of the dominated variation distributions, as well.
KeywordsRearrangement InvarianceDominated VariationMoment-Index
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