Henryk, Gzyl and Silvia, Mayoral (2006): On a relationship between distorted and spectral risk measures.
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We study the relationship between two widely used risk measures, the spectral measures and the distortion risk measures. In both cases, the risk measure can be thought of as a re-weighting of some initial distribution. We prove that spectral risk measures are equivalent to distorted risk pricing measures, or equivalently, spectral risk functions are related to distortion functions. Besides that we prove that distorted measures are absolutely continuous with respect to the original measure. This allows us to find a link between the risk measures based on relative entropy and spectral risk measures or measures based on distortion risk function.
|Item Type:||MPRA Paper|
|Original Title:||On a relationship between distorted and spectral risk measures|
|Keywords:||Coherent risk measure; distortion function; Spectral measures; Risk Aversion Function|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions|
|Depositing User:||Silvia Mayoral|
|Date Deposited:||27. Feb 2007|
|Last Modified:||03. Mar 2013 02:13|
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On a relationship between distorted and spectral risk measures. (deposited 24. Nov 2006)
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