Quasiconvex risk measures with markets volatility

2018/06/21 by Fei Sun, Yijun Hu, Sun, Fei +1
Computer Science · Decision Sciences · Economics, Econometrics and Finance · #FOS: Economics and business #FOS: Mathematics #Optimization and Variational Analysis #Probability (math.PR) #Risk Management (q-fin.RM) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1806.08701

openalex publication_date 2018/06/21 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Since the quasiconvex risk measures is a bigger class than the well known convex risk measures, the study of quasiconvex risk measures makes sense especially in the financial markets with volatility. In this paper, we will study the quasiconvex risk measures defined on a special space L^p(⋅) where the variable exponent p(⋅) is no longer a given real number like the space L^p, but a random variable, which reflects the possible volatility of the financial markets. The dual representation for this quasiconvex risk measures will also provided.

Related

• Quasi-Logconvex Measures of Risk
• Dynamic risk measures with fluctuation of market volatility under Bochne-Lebesgue space
• Complete duality for quasiconvex dynamic risk measures on modules of the L^p-type
• Decomposable sums and their implications on naturally quasiconvex risk measures
• Dual representations for quasiconvex compositions with applications to systemic risk measures