2016/10/13 by Marco Maggis, Maggis, Marco, Thilo Meyer-Brandis +3
Economics, Econometrics and Finance · Mathematics · #31A15 #46A20 #46E30 #60A99 #91B30 #FOS: Economics and business #FOS: Mathematics #Functional Analysis (math.FA) #Mathematical Finance (q-fin.MF) #Probability (math.PR) #math.FA #math.PR #msc:31A15 #msc:46A20 #msc:46E30 #msc:60A99 #msc:91B30 #q-fin.MF
paper · pdf · doi:10.48550/arxiv.1610.04085
arxiv created 2018/10/10 · arxiv updated 2018/10/11
We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of P-quasisure bounded random variables, where P is a (possibly non-dominated) class of probability measures. Applications of our results lie within robust versions the Fundamental Theorem of Asset Pricing or dual representation of convex risk measures.