Rearrangement Invariant, Coherent Risk Measures on L0


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.

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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.

Conflicts of Interest

The authors declare no conflicts of interest.


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