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On the worst conditional expectation |
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| Authors: | Akihiko Inoue |
| Institution: | Department of Mathematics, Faculty of Science, Hokkaido University, Sapporo 060-0810, Japan |
| Abstract: | We study continuous coherent risk measures on Lp, in particular, the worst conditional expectations. We show some representation theorems for them, extending the results of Artzner, Delbaen, Eber, Heath, and Kusuoka. |
| Keywords: | Coherent risk measure Worst conditional expectation Neyman-Pearson lemma |
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