Representations of set-valued risk measures defined on the l-tensor product of Banach lattices |
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| Authors: | Coenraad C A Labuschagne Theresa M Offwood-Le Roux |
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| Institution: | 1. Department of Finance and Investment Management, University of Johannesburg, P O Box 524, Aucklandpark 2006, Johannesburg, South Africa
2. Standard Bank, 30 Baker Street, Rosebank, 2196, South Africa
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| Abstract: | We obtain a representation for set-valued risk measures which are defined on the completed \(l\) -tensor product \(E\widetilde{\otimes }_l G\) of Banach lattices \(E\) and \(G\) . This representation extends known representations for set-valued risk measures defined on Bochner spaces \(L^p(\mathbb {P}, \mathbb {R}^d)\) of \(p\) -integrable functions with values in \(\mathbb {R}^d\) . |
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