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Bounds for nested law invariant coherent risk measures

Linwei Xin(lwxin***at***gatech.edu)
Alexander Shapiro(ashapiro***at***isye.gatech.edu)

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: Risk measures, law invariant, coherent, Average Value-at-Risk, comonotonic

Category 1: Stochastic Programming

Category 2: Other Topics (Dynamic Programming )


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Entry Submitted: 08/03/2012
Entry Accepted: 08/03/2012
Entry Last Modified: 08/03/2012

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