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A Short Note On Second‐Order Stochastic Dominance Preserving Coherent Risk Measures

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  • Johannes Leitner

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.

Suggested Citation

  • Johannes Leitner, 2005. "A Short Note On Second‐Order Stochastic Dominance Preserving Coherent Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 649-651, October.
    • Handle: RePEc:bla:mathfi:v:15:y:2005:i:4:p:649-651
    DOI: 10.1111/j.1467-9965.2005.00255.x
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