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A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES
Author(s) -
Leitner Johannes
Publication year - 2005
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/j.1467-9965.2005.00255.x
Subject(s) - stochastic dominance , mathematics , stochastic ordering , order (exchange) , invariant (physics) , dominance (genetics) , representation (politics) , mathematical economics , econometrics , coherent risk measure , property (philosophy) , economics , risk measure , financial economics , finance , law , portfolio , biochemistry , chemistry , philosophy , epistemology , politics , political science , mathematical physics , gene
We improve results on law invariant coherent risk measures satisfying the Fatou property due to Kusuoka (2001; Adv. Math. Econ . 3, 83–95) by considering risk measures which are in addition second order stochastic dominance preserving. In particular, we derive a representation result for such risk measures.