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A SHORT NOTE ON SECOND-ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES |
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| Authors: | Johannes Leitner |
| Affiliation: | Vienna University of Technology |
| 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 |