On s-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model



c ]ρ(0), [. So (EpX)iι is a net in {βρ c}, which in turn is compact w.r.t. to product topology on RX by

Lemma 6.3. Therefore there exist a subnet (Pi(k))kK and some Λ {βρ c} with lim EPi(k) [X] = Λ(X) for
k     ()

every X X. Then (Pi(k))kK converges to some P c due to (*). This finishes the prove of statement .2.

proof of .3:

Drawing on Lemma 6.5 with Proposition 6.6 and the translation invariance of ρ it remains to show

ρ(X) =   sup (-EP [X] - αρ (P)) for all X X+b.

PM1(S)

For this purpose let X X+b , and let ε > 0. Then by (1), (2) and definition of E we may find an isotone sequence

(Yn)n in L+b with X sup Yn E and ρ(X) < inf ρ(Yn) + ε. In view of Lemma 6.1 and (*) there is some
nn

c* ] ρ(0), [ with ρ(Yn) = sup (EP[Yn] αρ(P)) for any n. Furthermore Fn(P) := EP[Yn] αρ(P) defines
Pc.

an antitone sequence of mappings Fn := ∆c* → R which are upper semicontinuous w.r.t. the relative topology of

TL (see Lemmata 7.2, 6.5 again) such that Fn F, defined by F (P) := —Ep[Y ] αρ(P). Due to .2 we may apply
the generalized Dini lemma (cf. [12], Theorem 3.7) and obtain

ρ(X) ε < infρ(Yn) = sup (EP [Y] αρ(P)) sup (EP[X] αρ(P)) ρ(X),
n           Pc,                        Pc,

which completes the proof.                                                                               H

Proof of Remark 3.4:

Obviously, σ(X) = B(Ω) ® B(T), and any closed subset A of Ω × T w.r.t. the metrizable topology tω × TT may be

described by A = T Xn-1 ([xn , [) for some sequence (Xn)n of nonnegative continuous mappings and a sequence
n=1

(xn)n of positive real numbers.

Now let X L. Then X(,t) is B(Ω)measurable for t T and X(ω, ) is continuous w.r.t. tt for ω Ω, which
implies X
X because TT is separably metrizable (cf. e.g. [3], Lemma III-14). Therefore L X, and σ(X) is
generated by
S. Then the statement of Remark 3.4 follows immediately from Theorem 3.1.                   H

8 Proof of Theorem 4.1

Obviously, .2 .3, and statement .2 implies statement .4 if the indicator mappings 1A (A S) belong to X. So
in view of Corollary 3.3 and Proposition 1.1 it remains to prove the implications .1
.2 and .4 .3.

proof of .1 .2:

Let Q consist of all sequences (λn)n in [0, 1] with λn = 1. Aditionally, let (Xn)n be any isotone sequence in
n=1

X which converges pointwise to some X X. Then by assumption    λnXn is a well defined member of X for

n=1

21



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