On the Geometry of Acceptability Functionals

Abstract In this paper we discuss continuity properties of acceptability functionals or risk measures. The dependence of the random variable is investigated first. The main contribution and focus of this paper is to study how acceptability functionals vary whenever the underlying probability measure is perturbed. Abstract It turns out that the Wasserstein distance provides a valuable notion of distance, and may acceptability functionals allow a precise quantification in terms of this distance.

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