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Automatic Fatou Property of Law-invariant Risk Measures

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 نشر من قبل Niushan Gao
 تاريخ النشر 2021
  مجال البحث مالية
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In this paper, we show that, on classical model spaces including Orlicz spaces, every real-valued, law-invariant, coherent risk measure automatically has the Fatou property at every point whose negative part has a thin tail.



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