Abstracts
On Robust Duality and Superhedging under Model Uncertainty
Michael Kupper (University of Konstanz, Germany)
Thursday June 5, 12:00-12:30 | session 7.3 | Risk Measures | room EF
We focus on the robust representation of convex risk measures when there is no reference probability measure. Under a suitable tightness assumption it has been shown by Föllmer and Schied that convex risk measures on the space of bounded continuous functions have a robust representation in terms of probability measures. In this presentation we provide some representation results in the general case, when the reference and test probabilities are not tight. As an application we discuss the robust representation of the superhedging problem under model uncertainty.