Ekeland, Ivar; Schachermayer, Walter - In: Statistics & Risk Modeling 28 (2011) 3, pp. 195-225
Abstract Kusuoka (2001) has obtained explicit representation theorems for comonotone risk measures and, more generally, for law invariant risk measures. These theorems pertain, like most of the previous literature, to the case of scalar-valued risks. Jouini, Meddeb, and Touzi (2004) and Burgert...