Bounds for nested law invariant coherent risk measures

Linwei Xin, Alexander Shapiro

Research output: Contribution to journalArticle

Abstract

With every law invariant coherent risk measure is associated its conditional analogue. In this paper we discuss lower and upper bounds for the corresponding nested (composite) formulations of law invariant coherent risk measures. In particular, we consider the Average Value-at-Risk and comonotonic risk measures.

Original languageEnglish (US)
Pages (from-to)431-435
Number of pages5
JournalOperations Research Letters
Volume40
Issue number6
DOIs
StatePublished - Nov 1 2012

Keywords

  • Average Value-at-Risk
  • Coherent
  • Comonotonic
  • Law invariant
  • Risk measures

ASJC Scopus subject areas

  • Software
  • Management Science and Operations Research
  • Industrial and Manufacturing Engineering
  • Applied Mathematics

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