Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "Capacity"
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A Representation of Risk Measures
(Université de Montréal. Département de sciences économiques., 2013-10)We provide a representation theorem for risk measures satisfying (i) monotonicity; (ii) positive homogeneity; and (iii) translation invariance. As a simple corollary to our theorem, we obtain the usual representation of coherent risk measures (i.e., ...