2022/12/29 by Johannes Langner, Langner, Johannes, Gregor Svindland +1
Decision Sciences · Economics, Econometrics and Finance · #46A20 #46E30 #46N10 #46N30 #60B11 #91G80 #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Functional Analysis (math.FA) #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Risk and Portfolio Optimization
paper · pdf · doi:10.48550/arxiv.2212.14259
openalex publication_date 2022/12/29 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/01
This paper assumes a robust, in general not dominated, probabilistic framework and provides necessary and sufficient conditions for a bipolar representation of subsets of the set of all quasi-sure equivalence classes of non-negative random variables, without any further conditions on the underlying measure space. This generalizes and unifies existing bipolar theorems proved under stronger assumptions on the robust framework. Applications are in areas of robust financial modeling.