Bounds for nested law invariant coherent risk measures
نویسندگان
چکیده
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. © 2012 Elsevier B.V. All rights reserved.
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عنوان ژورنال:
- Oper. Res. Lett.
دوره 40 شماره
صفحات -
تاریخ انتشار 2012