Download This PaperEquivalent Distortion Risk Measures on Moment Spaces
13 Pages Posted: 26 Nov 2018
Date Written: October 11, 2018
Abstract
We show that maximizing distortion risk measures over the set of distribution functions with given mean is equivalent to maximizing their concave counterpart. In the case of Value-at-Risk and Tail Value-at-Risk the equivalence also holds when adding information on higher moments.
Keywords: Coherent risk measure, Expected Shortfall (ES), Value-at-Risk (VaR), model uncertainty
Suggested Citation: Suggested Citation
Cornilly, Dries and Vanduffel, Steven, Equivalent Distortion Risk Measures on Moment Spaces (October 11, 2018). Available at SSRN: https://ssrn.com/abstract=3175936 or http://dx.doi.org/10.2139/ssrn.3175936
Steven Vanduffel (Contact Author)
Vrije Universiteit Brussel (VUB) ( email )
Pleinlaan 2
Brussels, Brabant 1050
Belgium
HOME PAGE: http://www.stevenvanduffel.com
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