A SHORT NOTE ON SECOND-ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES

Author: Leitner, Johannes

Source: Mathematical Finance, Volume 15, Number 4, October 2005 , pp. 649-651(3)

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Abstract:

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.

Keywords: (Law invariant) coherent risk measures; second-order stochastic dominance; average value at risk

Document Type: Research article

DOI: http://dx.doi.org/10.1111/j.1467-9965.2005.00255.x

Affiliations: 1: Vienna University of Technology

Publication date: 2005-10-01