A note on continuity and asymptotic consistency of measures of risk and variability
| Autor: | Gao, Niushan, Xanthos, Foivos |
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| Rok vydání: | 2024 |
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| Druh dokumentu: | Working Paper |
| Popis: | In this short note, we show that every convex, order bounded above functional on a Frechet lattice is automatically norm continuous. This improves a result in \cite{RS06} and applies to many deviation and variability measures. We also show that an order-continuous, law-invariant functional on an Orlicz space is strongly consistent everywhere, extending a result in \cite{KSZ14}. |
| Databáze: | arXiv |
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