Article ID Journal Published Year Pages File Type
1142936 Operations Research Letters 2012 5 Pages PDF
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.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
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Bounds for nested law invariant coherent risk measures
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