{"title":"Equivalent Distortion Risk Measures on Moment Spaces","authors":"D. Cornilly, S. Vanduffel","doi":"10.2139/ssrn.3175936","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":203996,"journal":{"name":"ERN: Value-at-Risk (Topic)","volume":"71 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Value-at-Risk (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3175936","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
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.