Maximum Spectral Measures of Risk with Given Risk Factor Marginal Distributions

• 成果类型: Article
• 署名作者: Ghossoub, Mario; Hall, Jesse; Saunders, David
• 署名单位: University of Waterloo
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2022.1299
• 发表日期: 2023
• 页码: 1158-1182
• 关键词: CENTRAL LIMIT-THEOREMS; random-variables; Robustness

摘要

We consider the problemof determining an upper bound for the value of a spectral risk measure of a loss that is a general nonlinear function of two factors whose marginal distributions are known but whose joint distribution is unknown. The factors may take values in complete separable metric spaces. We introduce the notion of Maximum Spectral Measure (MSM), as a worst-case spectral risk measure of the loss with respect to the dependence between the factors. The MSM admits a formulation as a solution to an optimization problem that has the same constraint set as the optimal transport problem but with a more general objective function. We present results analogous to the Kantorovich duality, and we investigate the continuity properties of the optimal value function and optimal solution set with respect to perturbation of the marginal distributions. Additionally, we provide an asymptotic result characterizing the limiting distribution of the optimal value function when the factor distributions are simulated from finite sample spaces. The special case of Expected Shortfall and the resulting Maximum Expected Short-fall is also examined.