Monetary Utility Functions on C_b(X) Spaces

2022/09/16 by Freddy Delbaen, Delbaen, Freddy · 2 citations
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60G35 #Advanced Banach Space Theory #Economic theories and models #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR) #Risk and Portfolio Optimization

paper · pdf · doi:10.48550/arxiv.2209.08137

openalex publication_date 2022/09/16 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We will characterise robust monetary utility functions defined on the space of real valued (bounded) continuous functions on a Polish space.

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• Robust risk measures: an averaging approach

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