Spectral risk measure of holding stocks in the long run (Q827272)

The authors assume that stock price in financial market follows an exponential Lévy processes and investigate how the spectral risk measure associated with holding stocks rather than a riskfree deposit, depends on the holding period. They show that for this type of processes, spectral risk becomes negative at long periods and prove the same behavior for all spectral risk measures (including the special case of expected shortfall) when the stock price grows realistically fast and when it follows a geometric Brownian motion or a finite moment log stable process. Calibrating the models to historical market data and performing numerical calculations, the authors find that the risk as defined in the paper indeed becomes negative, but it remains significantly positive for decades, even for optimistic market views.