文章基本信息

标题：Comparative Analyses of Expected Shortfall and Value-at-Risk (2): Expected Utility Maximization and Tail Risk
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作者：Yasuhiro Yamai ; Toshinao Yoshiba
期刊名称：Monetary and Economic Studies
印刷版ISSN：0288-8432
出版年度：2002
卷号：20
期号：2
出版社：Bank of Japan, Institute for Monetary and Economic Studies
摘要：We compare expected shortfall and value-at-risk (VaR) in terms of consistency with expected utility maximization and elimination of tail risk. We use the concept of stochastic dominance in studying these two aspects of risk measures. We conclude that expected shortfall is more applicable than VaR in those two aspects. Expected shortfall is consistent with expected utility maximization and is free of tail risk, under more lenient conditions than VaR.
关键词：Expected shortfall; Value-at-risk; Tail risk; Stochastic dominance; Expected utility maximization