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A Short Note On Second‐Order Stochastic Dominance Preserving Coherent Risk Measures

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  • Johannes Leitner

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.

Suggested Citation

  • Johannes Leitner, 2005. "A Short Note On Second‐Order Stochastic Dominance Preserving Coherent Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 649-651, October.
    • Handle: RePEc:bla:mathfi:v:15:y:2005:i:4:p:649-651
    DOI: 10.1111/j.1467-9965.2005.00255.x
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    References listed on IDEAS

    as
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    3. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
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    5. repec:cup:astinb:v:26:y:1996:i:01:p:71-92_00 is not listed on IDEAS
    6. Ogryczak, Wlodzimierz & Ruszczynski, Andrzej, 1999. "From stochastic dominance to mean-risk models: Semideviations as risk measures," European Journal of Operational Research, Elsevier, vol. 116(1), pages 33-50, July.
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