Equivalent distortion risk measures on moment spaces

Publication date: Available online 22 November 2018Source: Statistics & Probability LettersAuthor(s): Dries Cornilly, Steven VanduffelAbstractWe 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.

Source: Statistics and Probability Letters - November 22, 2018 Category: Statistics Source Type: research