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Issue 3
Jul.  2014
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Article Contents
TIAN De-jian, JIANG Long, JI Rong-lin. Representation theorem for AVaR under a submodular capacity[J]. Journal of East China Normal University (Natural Sciences), 2014, (3): 23-29.
Citation: TIAN De-jian, JIANG Long, JI Rong-lin. Representation theorem for AVaR under a submodular capacity[J]. Journal of East China Normal University (Natural Sciences), 2014, (3): 23-29.

Representation theorem for AVaR under a submodular capacity

  • Received Date: 2013-05-01
  • Rev Recd Date: 2013-08-01
  • Publish Date: 2014-05-25
  • From the viewpoints of quantile functions, we gave the definition of AVaR of financial positions under a capacity. Then, using the classical results of AVaR under the probability measure, we established the representation theorem for AVaR under the submodular capacity. As a byproduct of this representation theorem, we proved that AVaR under a submodular capacity is a coherent risk measure, which generalized the classical results.
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