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 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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