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
Hauptverfasser: Herdegen, Martin, Munari, Cosimo
Format: Artikel
Sprache:eng
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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.
ISSN:1862-9679
1862-9660
DOI:10.1007/s11579-023-00346-8