• DOI:10.1007/S11009-008-9089-Z
Corpus ID: 53327887

Properties of Distortion Risk Measures

@article{Balbs2008PropertiesOD,
  title={Properties of Distortion Risk Measures},
  author={A. Balb{\'a}s and J. Garrido and S. Mayoral},
  journal={Methodology and Computing in Applied Probability},
  year={2008},
  volume={11},
  pages={385-399}
}

A. Balbás, J. Garrido, S. Mayoral

Published 2008

Mathematics

Methodology and Computing in Applied Probability

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 Conditional VaRα (CVaRα). This leads to the definition of two new families: complete and… CONTINUE READING

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