}\left( \mathbb{Q}\right) :=\sup\limits_{X\in \mathcal{A}\rho }\mathbb{E}_{\mathbb{Q}}\left[ -X\right] ,  \label{Def._minimal_penalty}$$and $\mathcal{A}_{\rho }:=\left\{ X\in \mathfrak{M}_{b}:\rho (X)\leq
0\right\} $ is the *acceptance set* of $\rho .$

The penalty $\psi _{\rho }^{\ast }$ is called the *minimal penalty function* associated to $\rho $ because, for any other penalty function $\psi $ fulfilling $\left( \ref{Static_CMR_Robust_representation}\right) $, $\psi \left( \mathbb{Q}\right) \geq \psi _{\rho }^{\ast }\left( \mathbb{Q}\right) $, for all $\mathbb{Q}\in \mathcal{Q}_{cont}.$ Furthermore, for the minimal penalty function, the next biduality relation is satisfied $$\psi _{\rho }^{\ast }\left( \mathbb{Q}\right) =\sup_{X\in \mathfrak{M}_{b}\left( \Omega ,\mathcal{F}\right) }\left\{ \mathbb{E}_{\mathbb{Q}}\left[
-X\right] -\rho \left( X\right) \right\} ,\quad \forall \mathbb{Q\in }\mathcal{Q}_{cont}.  \label{static convex rsk msr biduality}$$

Let $\mathcal{Q}\left( \Omega ,\mathcal{F}\right) $ be the family of probability measures on the measurable space $\left( \Omega ,\mathcal{F}\right) .$ Among the measures of risk, the class of them that are concentrated on the set of probability measures $\mathcal{Q\subset Q}_{cont}$ are of special interest. Recall that a function $I:E\subset \mathbb{R}^{\Omega }\rightarrow \mathbb{R}$ is *sequentially continuous from below (above)* when $\left\{ X_{n}\right\} _{n\in \mathbb{N}}\uparrow
X\Rightarrow \lim_{n\rightarrow \infty }I\left( X_{n}\right) =I\left(
X\right) $ ( respectively $\left\{ X_{n}\right\} _{n\in \mathbb{N}}\downarrow X\Rightarrow \lim_{n\rightarrow \infty }I\left( X_{n}\right)
=I\left( X\right) $). Föllmer and Schied [@FoellSch; @2004] proved that any sequentially continuous from below convex measure of 