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On distortion functionals
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Georg Ch. Pflug
Published/Copyright:
September 25, 2009
SUMMARY
Distorted measures have been used in pricing of insurance contracts for a long time. This paper reviews properties of related acceptability functionals in risk management, called distortion functionals. These functionals may be characterized by being mixtures of average values-at-risk. We give a dual representation of these functionals and show how they may be used in portfolio optimization. An iterative numerical procedure for the solution of these portfolio problems is given which is based on duality.
:
Received: 2005-November-11
Accepted: 2006-March-19
Published Online: 2009-09-25
Published in Print: 2006-07
© R. Oldenbourg Verlag, München
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Articles in the same Issue
- Editorial preface
- Risk measurement with equivalent utility principles
- Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals
- On distortion functionals
- Convex risk measures and the dynamics of their penalty functions
- Law invariant convex risk measures for portfolio vectors
- Robust utility maximization in a stochastic factor model
- Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
- On the optimal risk allocation problem
- Monetary utility over coherent risk ratios
- Mean-risk optimization for index tracking
Articles in the same Issue
- Editorial preface
- Risk measurement with equivalent utility principles
- Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals
- On distortion functionals
- Convex risk measures and the dynamics of their penalty functions
- Law invariant convex risk measures for portfolio vectors
- Robust utility maximization in a stochastic factor model
- Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
- On the optimal risk allocation problem
- Monetary utility over coherent risk ratios
- Mean-risk optimization for index tracking
