JFRM  Vol.4 No.1 , March 2015
Rearrangement Invariant, Coherent Risk Measures on L0
ABSTRACT
By this paper, we give an answer to the problem of definition of coherent risk measures on rearrangement invariant, solid subspaces of L0 with respect to some atom less probability space . This problem was posed by F. Delbaen, while in this paper we proposed a solution via ideals of L0 and the class of the dominated variation distributions, as well.

Cite this paper
Kountzakis, C. and Konstantinides, D. (2015) Rearrangement Invariant, Coherent Risk Measures on L0. Journal of Financial Risk Management, 4, 22-25. doi: 10.4236/jfrm.2015.41003.
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