On the worst conditional expectation

[摘要] We study continuous coherent risk measures on L-p, in particular, the worst conditional expectations. We show some representation theorems for them, extending the results of Artzner, Delbaen, Eber, Heath, and Kusuoka. (C) 2003 Elsevier Inc. All rights reserved.

[发布日期] 2003-10-01

[关键词] coherent risk measure;worst conditional expectation;Neyman-Pearson lemma