Properties of Distortion Risk Measures

  title={Properties of Distortion Risk Measures},
  author={Alejandro Balb{\'a}s and Jos{\'e} Garrido and Silvia Mayoral},
  journal={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… 

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