law invariant

Bounds for nested law invariant coherent risk measures

  • Alexander Shapiro
  • Linwei Xin
    • Categories Dynamic Programming, Stochastic Programming Tags , , , ,

    With every law invariant coherent risk measure is associated its conditional analogue. In this paper we discuss lower and upper bounds for the corresponding nested (composite) formulations of law invariant coherent risk measures. In particular, we consider the Average Value-at-Risk and comonotonic risk measures. ArticleDownload View PDF