Monotone and Cash-Invariant Convex Functions and Hulls ∗

@inproceedings{Filipovic2006MonotoneAC,
  title={Monotone and Cash-Invariant Convex Functions and Hulls ∗},
  author={Damir Filipovic and Michael Kupper},
  year={2006}
}
This paper provides some useful results for convex risk measures. In fact, we consider convex functions on a locally convex vector space E which are monotone with respect to the preference relation implied by some convex cone and invariant with respect to some numeraire (“cash”). As a main result, for any function f , we find the greatest closed convex monotone and cash-invariant function majorized by f . We then apply our results to some well-known risk measures and problems arising in… CONTINUE READING