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Niushan Gao

Publications and source records attributed to Niushan Gao.

At least 19 recordsLinked to original sources
arXiv2026

On Prudence of Risk Measures

Prudence is a stability property of risk functionals recently introduced by Wang and Zitikis and subsequently studied by Amarante and Liebrich. In this paper, we first establish general relationships between prudence and other stability properties, showing, in particular, that weak prudence and prudence coincide for a broad class of convex, law-invariant functionals. We then prove that prudence is preserved by cash-additive hulls of star-shaped functionals under a simple asymptotic condition, and by inf-convolutions of convex, cash-additive, law-invariant prudent functionals. Our results provide general methods for constructing prudent risk measures from existing prudent functionals.

q-fin.RM↗
arXiv2024

A note on continuity and asymptotic consistency of measures of risk and variability

In this short note, we show that every convex, order bounded above functional on a Frechet lattice is automatically norm continuous. This improves a result in \cite{RS06} and applies to many deviation and variability measures. We also show that an order-continuous, law-invariant functional on an Orlicz space is strongly consistent everywhere, extending a result in \cite{KSZ14}.

q-fin.RM↗
arXiv2022

The order-type Banach-Saks properties

The study of the Banach-Saks property in Banach spaces has a long and illustrious history. Of late, motivated by applications in financial mathematics, interest has arisen in the Banach-Saks type properties with respect to order convergence. This paper presents a study of order Banach-Saks properties in Banach function spaces, and in particular in rearrangement invariant spaces. Among the results obtained, we provide some sufficient conditions for the (weak) order Banach-Saks property. We also characterize the (weak) order Banach-Saks property in Orlicz spaces. It is also shown that the (weak) order Banach-Saks property is equivalent to its hereditary version.

math.FA↗
arXiv2022

Automatic Fatou Property of Law-invariant Risk Measures

In the paper we investigate automatic Fatou property of law-invariant risk measures on a rearrangement-invariant function space $\mathcal{X}$ other than $L^\infty$. The main result is the following characterization: Every real-valued, law-invariant, coherent risk measure on $\mathcal{X}$ has the Fatou property at every random variable $X\in \mathcal{X}$ whose negative tails have vanishing norm (i.e., $\lim_n\|X\mathbf{1}_{\{X\leq -n\}}\|=0$) if and only if $\mathcal{X}$ satisfies the Almost Order Continuous Equidistributional Average (AOCEA) property, namely, $\mathrm{d}(\mathcal{CL}(X),\mathcal{X}_a) =0$ for any $X\in \mathcal{X}_+$, where $ \mathcal{CL}(X)$ is the convex hull of all random variables having the same distribution as $X$ and $\mathcal{X}_a=\{X\in\mathcal{X}:\lim_n \|X\mathbf{1}_{ \{|X|\geq n\} }\| =0\}$. As a consequence, we show that under the AOCEA property, every real-valued, law-invariant, coherent risk measure on $\mathcal{X}$ admits a tractable dual representation at every $X\in \mathcal{X}$ whose negative tails have vanishing norm. Furthermore, we show that the AOCEA property is satisfied by most classical model spaces, including Orlicz spaces, and therefore the foregoing results have wide applications.

q-fin.RM↗
arXiv2021

Do law-invariant linear functionals collapse to the mean?

In this note, we show that, on a wide range of rearrangement-invariant spaces, a law-invariant bounded linear functional is a scalar multiple of the expectation. We also construct a rearrangement-invariant space on which this property fails.

math.FA↗
arXiv2020

Stability properties of Haezendonck-Goovaerts premium principles

We investigate a variety of stability properties of Haezendonck-Goovaerts premium principles on their natural domain, namely Orlicz spaces. We show that such principles always satisfy the Fatou property. This allows to establish a tractable dual representation without imposing any condition on the reference Orlicz function. In addition, we show that Haezendonck-Goovaerts principles satisfy the stronger Lebesgue property if and only if the reference Orlicz function fulfills the so-called $Δ_2$ condition. We also discuss (semi)continuity properties with respect to $Φ$-weak convergence of probability measures. In particular, we show that Haezendonck-Goovaerts principles, restricted to the corresponding Young class, are always lower semicontinuous with respect to the $Φ$-weak convergence.

q-fin.MF↗
arXiv2019

On local convexity in $\mathbb{L}^0$ and switching probability measures

In the paper, we investigate the following fundamental question. For a set $\mathcal{K}$ in $\mathbb{L}^0(\mathbb{P})$, when does there exist an equivalent probability measure $\mathbb{Q}$ such that $\mathcal{K}$ is uniformly integrable in $\mathbb{L}^1(\mathbb{Q})$. Specifically, let $\mathcal{K}$ be a convex bounded positive set in $\mathbb{L}^1(\mathbb{P})$. Kardaras [6] asked the following two questions: (1) If the relative $\mathbb{L}^0(\mathbb{P})$-topology is locally convex on $\mathcal{K}$, does there exist $\mathbb{Q}\sim \mathbb{P}$ such that the $\mathbb{L}^0(\mathbb{Q})$- and $\mathbb{L}^1(\mathbb{Q})$-topologies agree on ${\mathcal{K}}$? (2) If $\mathcal{K}$ is closed in the $\mathbb{L}^0(\mathbb{P})$-topology and there exists $\mathbb{Q}\sim \mathbb{P}$ such that the $\mathbb{L}^0(\mathbb{Q})$- and $\mathbb{L}^1(\mathbb{Q})$-topologies agree on $\mathcal{K}$, does there exist $\mathbb{Q}'\sim \mathbb{P}$ such that $\mathcal{K}$ is $\mathbb{Q}'$-uniformly integrable? In the paper, we show that, no matter $\mathcal{K}$ is positive or not, the first question has a negative answer in general and the second one has a positive answer. In addition to answering these questions, we establish probabilistic and topological characterizations of existence of $\mathbb{Q}\sim\mathbb{P}$ satisfying these desired properties. We also investigate the peculiar effects of $\mathcal{K}$ being positive.

math.PR↗
arXiv2018

A Local Hahn-Banach Theorem and Its Applications

An important consequence of the Hahn-Banach Theorem says that on any locally convex Hausdorff topological space $X$, there are sufficiently many continuous linear functionals to separate points of $X$. In the paper, we establish a `local' version of this theorem. The result is applied to study the uo-dual of a Banach lattice that was recently introduced in [3]. We also provide a simplified approach to the measure-free characterization of uniform integrability established in [8].

math.FA↗
arXiv2018

Surplus-invariant risk measures

This paper presents a systematic study of the notion of surplus invariance, which plays a natural and important role in the theory of risk measures and capital requirements. So far, this notion has been investigated in the setting of some special spaces of random variables. In this paper we develop a theory of surplus invariance in its natural framework, namely that of vector lattices. Besides providing a unifying perspective on the existing literature, we establish a variety of new results including dual representations and extensions of surplus-invariant risk measures and structural results for surplus-invariant acceptance sets. We illustrate the power of the lattice approach by specifying our results to model spaces with a dominating probability, including Orlicz spaces, as well as to robust model spaces without a dominating probability, where the standard topological techniques and exhaustion arguments cannot be applied.

q-fin.MF↗
arXiv2018

The strong Fatou property of risk measures

In this paper, we explore several Fatou-type properties of risk measures. The paper continues to reveal that the strong Fatou property, which was introduced in [17], seems to be most suitable to ensure nice dual representations of risk measures. Our main result asserts that every quasiconvex law-invariant functional on a rearrangement invariant space $\mathcal{X}$ with the strong Fatou property is $σ(\mathcal{X},L^\infty)$ lower semicontinuous and that the converse is true on a wide range of rearrangement invariant spaces. We also study inf-convolutions of law-invariant or surplus-invariant risk measures that preserve the (strong) Fatou property.

q-fin.RM↗
arXiv2017

Fatou Property, representations, and extensions of law-invariant risk measures on general Orlicz spaces

We provide a variety of results for (quasi)convex, law-invariant functionals defined on a general Orlicz space, which extend well-known results in the setting of bounded random variables. First, we show that Delbaen's representation of convex functionals with the Fatou property, which fails in a general Orlicz space, can be always achieved under the assumption of law-invariance. Second, we identify the range of Orlicz spaces where the characterization of the Fatou property in terms of norm lower semicontinuity by Jouini, Schachermayer and Touzi continues to hold. Third, we extend Kusuoka's representation to a general Orlicz space. Finally, we prove a version of the extension result by Filipović and Svindland by replacing norm lower semicontinuity with the (generally non-equivalent) Fatou property. Our results have natural applications to the theory of risk measures.

q-fin.RM↗
arXiv2017

Closedness of convex sets in Orlicz spaces with applications to dual representation of risk measures

Let $(Φ,Ψ)$ be a conjugate pair of Orlicz functions. A set in the Orlicz space $L^Φ$ is said to be order closed if it is closed with respect to dominated convergence of sequences of functions. A well known problem arising from the theory of risk measures in financial mathematics asks whether order closedness of a convex set in $L^Φ$ characterizes closedness with respect to the topology $σ(L^Φ,L^Ψ)$. (See [26, p.3585].) In this paper, we show that for a norm bounded convex set in $L^Φ$, order closedness and $σ(L^Φ,L^Ψ)$-closedness are indeed equivalent. In general, however, coincidence of order closedness and $σ(L^Φ,L^Ψ)$-closedness of convex sets in $L^Φ$ is equivalent to the validity of the Krein-Smulian Theorem for the topology $σ(L^Φ,L^Ψ)$; that is, a convex set is $σ(L^Φ,L^Ψ)$-closed if and only if it is closed with respect to the bounded-$σ(L^Φ,L^Ψ)$ topology. As a result, we show that order closedness and $σ(L^Φ,L^Ψ)$-closedness of convex sets in $L^Φ$ are equivalent if and only if either $Φ$ or $Ψ$ satisfies the $Δ_2$-condition. Using this, we prove the surprising result that: \emph{If (and only if) $Φ$ and $Ψ$ both fail the $Δ_2$-condition, then there exists a coherent risk measure on $L^Φ$ that has the Fatou property but fails the Fenchel-Moreau dual representation with respect to the dual pair $(L^Φ, L^Ψ)$}. A similar analysis is carried out for the dual pair of Orlicz hearts $(H^Φ,H^Ψ)$.

q-fin.MF↗
arXiv2017

Duality for unbounded order convergence and applications

Unbounded order convergence has lately been systematically studied as a generalization of almost everywhere convergence to the abstract setting of vector and Banach lattices. This paper presents a duality theory for unbounded order convergence. We define the unbounded order dual (or uo-dual) $X_{uo}^\sim$ of a Banach lattice $X$ and identify it as the order continuous part of the order continuous dual $X_n^\sim$. The result allows us to characterize the Banach lattices that have order continuous preduals and to show that an order continuous predual is unique when it exists. Applications to the Fenchel-Moreau duality theory of convex functionals are given. The applications are of interest in the theory of risk measures in Mathematical Finance.

math.FA↗
arXiv2017

Unbounded order convergence in dual spaces

A net $(x_α)$ in a vector lattice $X$ is said to be {unbounded order convergent} (or uo-convergent, for short) to $x\in X$ if the net $(\abs{x_α-x}\wedge y)$ converges to 0 in order for all $y\in X_+$. In this paper, we study unbounded order convergence in dual spaces of Banach lattices. Let $X$ be a Banach lattice. We prove that every norm bounded uo-convergent net in $X^*$ is $w^*$-convergent iff $X$ has order continuous norm, and that every $w^*$-convergent net in $X^*$ is uo-convergent iff $X$ is atomic with order continuous norm. We also characterize among $σ$-order complete Banach lattices the spaces in whose dual space every simultaneously uo- and $w^*$-convergent sequence converges weakly/in norm.

math.FA↗
arXiv2017

Smallest order closed sublattices and option spanning

Let $Y$ be a sublattice of a vector lattice $X$. We consider the problem of identifying the smallest order closed sublattice of $X$ containing $Y$. It is known that the analogy with topological closure fails. Let $\overline{Y}^o$ be the order closure of $Y$ consisting of all order limits of nets of elements from $Y$. Then $\overline{Y}^o$ need not be order closed. We show that in many cases the smallest order closed sublattice containing $Y$ is in fact the second order closure $\overline{\overline{Y}^o}^o$. Moreover, if $X$ is a $σ$-order complete Banach lattice, then the condition that $\overline{Y}^o$ is order closed for every sublattice $Y$ characterizes order continuity of the norm of $X$. The present paper provides a general approach to a fundamental result in financial economics concerning the spanning power of options written on a financial asset.

math.FA↗
arXiv2016

Option spanning beyond $L_p$-models

\begin{abstract} The aim of this paper is to study the spanning power of options in a static financial market that allows non-integrable assets. Our findings extend and unify the results in [8,9,18] for $L_p$-models. We also apply the spanning power properties to the pricing problem. In particular, we show that prices on call and put options of a limited liability asset can be uniquely extended by arbitrage to all marketed contingent claims written on the asset.

q-fin.MF↗
arXiv2016

On the C-property and $w^*$-representations of risk measures

We identify a large class of Orlicz spaces $X$ for which the topology $σ(X,X_n^\sim)$ fails the C-property introduced in [7]. We also establish a variant of the C-property and use it to prove a $w^*$-representation theorem for proper convex increasing functionals on dual Banach lattices that satisfy a suitable version of Delbaen's Fatou property. Our results apply, in particular, to risk measures on all Orlicz spaces over $[0,1]$ which is not $L_1[0,1]$.

q-fin.MF↗