Abstract
The idea of coherent risk measures has been introduced by Artzner, Delbaen, Eber and Heath [1]. We think of a special class of coherent risk measures and give a characterization of it. Let (Ω, ℱ, P) be a probability space. We denote L ∞(Ω, ℱ, P) by L ∞. Following [1], we give the following definition.
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References
Artzner, Ph., F. Delbaen, J.-M. Eber, and D. Heath: Coherent measures of risk. Math. Finance 9, 203–228 (1999)
Delbaen, F.: Coherent Risk Measures on General Probability Spaces. Preprint 1999
Williams, D.: Probability with Martingales. Cambridge University Press, Cambridge 1991
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© 2001 Springer Japan
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Kusuoka, S. (2001). On law invariant coherent risk measures. In: Kusuoka, S., Maruyama, T. (eds) Advances in Mathematical Economics. Advances in Mathematical Economics, vol 3. Springer, Tokyo. https://doi.org/10.1007/978-4-431-67891-5_4
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DOI: https://doi.org/10.1007/978-4-431-67891-5_4
Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-65937-2
Online ISBN: 978-4-431-67891-5
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