Kusuoka representation of higher order dual risk measures

Darinka Dentcheva, Spiridon Penev () and Andrzej Ruszczynski ()

Annals of Operations Research, 2010, vol. 181, issue 1, 325-335

Abstract: We derive representations of higher order dual measures of risk in [InlineEquation not available: see fulltext.] spaces as suprema of integrals of Average Values at Risk with respect to probability measures on (0,1] (Kusuoka representations). The suprema are taken over convex sets of probability measures. The sets are described by constraints on the dual norms of certain transformations of distribution functions. For p=2, we obtain a special description of the set and we relate the measures of risk to the Fano factor in statistics. Copyright Springer Science+Business Media, LLC 2010

Keywords: Lorenz curve; Quantile functions; Average value at risk; Coherent measures of risk; Fano factor; Optimization; Duality (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s10479-010-0747-5

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