Subgradients of Law-Invariant Convex Risk Measures on L
نویسنده
چکیده
We introduce a generalised subgradient for law-invariant closed convex risk measures on L and establish its relationship with optimal risk allocations and equilibria. Our main result gives sufficient conditions ensuring a non-empty generalised subgradient.
منابع مشابه
Subgradients of Law-Invariant Convex Risk Measures on L1∗
We introduce a generalised subgradient for law-invariant closed convex risk measures on L and establish its relationship with optimal risk allocations and equilibria. Our main result gives sufficient conditions ensuring a non-empty generalised subgradient.
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