Abstract
The author gives a simple proof of the representation theorem for law invariant convex risk measures which was obtained by Kusuoka (Adv.Math.Econ. 3:83–95, 2001), Frittelli and Rossaza Gianin (Adv.Math.Econ. 7:33–46,2005) and Jouini et al (Adv.Math.Econ. 9:49–71,2006).
Partly supported by the 21st century COE program at Graduate School of Mathematical Sciences, The University of Tokyo.
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References
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Frittelli, M., Rossaza Gianin, E.: Law invariant cobvex risk measures. Adv. Math. Econ. 7, 33–46 (2005)
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Jouini, E., Schachermayer, W., Touzi, N.: Law invariant risk measures have the Fatou property. Adv. Math. Econ. 9, 49–71 (2006)
Kusuoka, S.: On law invariant coherent risk measures. Adv. Math. Econ. 3, 83–95 (2001)
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Kusuoka, S. (2007). A remark on law invariant convex risk measures. In: Kusuoka, S., Yamazaki, A. (eds) Advances in Mathematical Economics. Advances in Mathematical Economics, vol 10. Springer, Tokyo. https://doi.org/10.1007/978-4-431-72761-3_5
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DOI: https://doi.org/10.1007/978-4-431-72761-3_5
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