Equivalent Distortion Risk Measures on Moment Spaces
13 Pages Posted: 26 Nov 2018
Date Written: October 11, 2018
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