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G-2009-16

Lebesgue Property of Risk Measures for Bounded Càdlàg Processes and Applications

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In this paper, we study the Lebesgue property for convex risk measures for a class of càdlàg processes, extending previous work of Delbaen (2000) and Jouini et al. (2006). It is shown that Lebesgue property can be characterized in several equivalent ways. Application to allocation of risk capital is presented.

, 21 pages

This cahier was revised in April 2009

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