Electronic Resource
350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK .
:
Blackwell Publishing, Inc.
Mathematical finance
15 (2005), S. 0
ISSN:
1467-9965
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Mathematics
,
Economics
Notes:
We improve results on law invariant coherent risk measures satisfying the Fatou property due to Kusuoka (2001; Adv. Math. Econ. 3, 83–95) by considering risk measures which are in addition second order stochastic dominance preserving. In particular, we derive a representation result for such risk measures.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/j.1467-9965.2005.00255.x
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