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Equivalent distortion risk measures on moment spaces

Dries Cornilly and Steven Vanduffel

Statistics & Probability Letters, 2019, vol. 146, issue C, 187-192

Abstract: We show that maximizing distortion risk measures over the set of distributions 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; Distortion function; Value-at-Risk (VaR); Expected shortfall (ES); Model uncertainty (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2018.11.021

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