Any insight in how to prove the following risk measure is subadditive? ρ1−α(X)=infz>0{z−1ln(E[ezX]α)}, with α∈]0,1]
I want to prove it is a coherent risk measure and already proved monotonicity, positive-homogeneity and translation invariance.
I understand that this question relates more to wikipedia than it does writing but... If I was going to use wikipedia for a source for a res...
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