An elementary proof of the dual representation of Expected Shortfall
We provide an elementary proof of the dual representation of Expected Shortfall on the space of integrable random variables over a general probability space. Unlike the results in the extant literature, our proof only exploits basic properties of quantile functions and can thus be easily implemented...
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Veröffentlicht in: | Mathematics and financial economics 2023-12, Vol.17 (4), p.655-662 |
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Hauptverfasser: | , |
Format: | Artikel |
Sprache: | eng |
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Online-Zugang: | Volltext |
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Zusammenfassung: | We provide an elementary proof of the dual representation of Expected Shortfall on the space of integrable random variables over a general probability space. Unlike the results in the extant literature, our proof only exploits basic properties of quantile functions and can thus be easily implemented in any graduate course on risk measures. As a byproduct, we obtain a new proof of the subadditivity of Expected Shortfall. |
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ISSN: | 1862-9679 1862-9660 |
DOI: | 10.1007/s11579-023-00346-8 |