RT Journal Article
T1 Properties of Distortion Risk Measures
A1 Balbás, Alejandro
A1 Garrido, José
A1 Mayoral, Silvia
AB The current literature does not reach a consensus on which risk measures should be used in practice. Our objective is to give at least a partial solution to this problem. We study properties that a risk measure must satisfy to avoid inadequate portfolio selections. The properties that we propose for risk measures can help avoid the problems observed with popular measures, like Value at Risk (VaRα) or ConditionalVaRα (CVaRα). This leads to the definition of two new families: complete and adapted risk measures. Our focus is on risk measures generated by distortion functions. Two new properties are put forward for these: completeness, ensuring that the distortion risk measure uses all the information of the loss distribution, and adaptability, forcing the measure to use this information adequately.
PB Springer
SN 1387-5841
YR 2009
FD 2009-09
LK https://hdl.handle.net/10016/14071
UL https://hdl.handle.net/10016/14071
LA eng
NO This research was partially funded by Welzia Management, SGIIC SA,RD Sistemas SA, Comunidad Autónoma de Madrid Grant s-0505/tic/000230,and MEyC Grant BEC2000-1388-C04-03 and by the Natural Sciences and EngineeringResearch Council of Canada (NSERC) Grant 36860-06.
DS e-Archivo
RD 25 may. 2024