Conditional risk mappings: robust representations
Coherent risk measures can be written as the support function of a set of random variables or as a worst-case expectation over a set of probability measures. This is the so-called dual or robust representation of risk measures. These representations extend to the conditional variants of risk measures. In this post we revisit the construction and properties of conditional risk mappings and derive the dual representation of compositions of conditional risk mappings. Continue reading →
Mathematix 