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math.PR2020★ 1 cited
Separability vs. robustness of Orlicz spaces: financial and economic perspectives
Felix-Benedikt Liebrich, Max Nendel
We investigate robust Orlicz spaces as a generalisation of robust -spaces. Two constructions of such spaces are distinguished, a top-down approach and a bottom-up approach. We…
math.PR2020
Model Uncertainty: A Reverse Approach
Felix-Benedikt Liebrich, Marco Maggis, Gregor Svindland
Robust models in mathematical finance replace the classical single probability measure by a sufficiently rich set of probability measures on the future states of the world to captu…