TITLE:
Rearrangement Invariant, Coherent Risk Measures on L0
AUTHORS:
Christos E. Kountzakis, Dimitrios G. Konstantinides
KEYWORDS:
Rearrangement Invariance, Dominated Variation, Moment-Index
JOURNAL NAME:
Journal of Financial Risk Management,
Vol.4 No.1,
March
5,
2015
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.