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Maggis, Marco; Meyer-Brandis, Thilo; Svindland, Gregor (2018): Fatou closedness under model uncertainty. In: Positivity, Vol. 22, No. 5: pp. 1325-1343
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We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of is a (possibly non-dominated) class of probability measures. Applications of our results lie within robust versions the Fundamental Theorem of Asset Pricing or dual representation of convex risk measures.