3 papers
q-fin.RM2015
Optimal risk allocation in a market with non-convex preferences
Hirbod Assa
The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk…
q-fin.RM2008
Convex Risk Measures: Lebesgue Property on one Period and Multi Period Risk Measures and Application in Capital Allocation Problem
Hirbod Assa
In this work we study the Lebesgue property for convex risk measures on the space of bounded càdlàg random processes (). Lebesgue property has been defined for…
math.PR2008
Characterization of Compact Subsets of with Respect to Weak Topology
Hirbod Assa
In this brief article we characterize the relatively compact subsets of for the topology (see below), by the weak compact subsets o…