Given a functional defined on a nonempty subset of an Archimedean Riesz space with unit, necessary and sufficient conditions are obtained for the existence of a (convex or concave) niveloid that extends the functional to the entire space. In the language of mathematical finance, this problem is equivalent to the one of verifying if the policy adopted by a regulator is consistent with monetary risk measurement, when only partial information is available.
Niveloids and their extensions: risk measures on small domains
Cerreia-Vioglio, Simone;Maccheroni, Fabio;Marinacci, Massimo;Rustichini, Aldo
2014
Abstract
Given a functional defined on a nonempty subset of an Archimedean Riesz space with unit, necessary and sufficient conditions are obtained for the existence of a (convex or concave) niveloid that extends the functional to the entire space. In the language of mathematical finance, this problem is equivalent to the one of verifying if the policy adopted by a regulator is consistent with monetary risk measurement, when only partial information is available.
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