Abstract

We provide an elementary proof of the dual representation of Expected Shortfall on the space of integrable random variables over a general probability space. Unlike the results in the extant literature, our proof only exploits basic properties of quantile functions and can thus be easily implemented in any graduate course on risk measures. As a byproduct, we obtain a new proof of the subadditivity of Expected Shortfall.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call