An elementary proof of the dual representation of expected shortfall

DOI10.1007/s11579-023-00346-8zbMath1530.91617arXiv2306.14506MaRDI QIDQ6146112

Martin Herdegen, Cosimo Munari

Publication date: 10 January 2024

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2306.14506

zbMATH Keywords

subadditivityexpected shortfalldual representation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Duality theory (optimization) (49N15)

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