[KSCI] Korea Science Citation Index Service

Kim, Ju Hong (Department of Mathematics, Sungshin Women's University)

Publication Information

Abstract

It is proved that 'maximum' is actually attained in the following risk measure representation $$${\rho}_m(X)={max \atop Q{\in}Q_m}E_Q[-X$ $]$ $$$$ .

Keywords

coherent risk measure; weakly compact set; James' theorem; minimal penalty function;

Citations & Related Records

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