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Tytuł artykułu

Seven Proofs for the Subadditivity of Expected Shortfall

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
Subadditivity is the key property which distinguishes the popular risk measures Value-at-Risk and Expected Shortfall (ES). In this paper we offer seven proofs of the subadditivity of ES, some found in the literature and some not. One of the main objectives of this paper is to provide a general guideline for instructors to teach the subadditivity of ES in a course. We discuss the merits and suggest appropriate contexts for each proof.With different proofs, different important properties of ES are revealed, such as its dual representation, optimization properties, continuity, consistency with convex order, and natural estimators.
Wydawca
Czasopismo
Rocznik
Tom
3
Numer
1
Opis fizyczny
Daty
otrzymano
2015-08-15
zaakceptowano
2015-10-07
online
2015-10-16
Twórcy
  • RiskLab, Department of Mathematics, ETH Zurich, 8092 Zurich, Switzerland
autor
  • Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, ON
    N2L 3G1, Canada
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.doi-10_1515_demo-2015-0009
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