Norms Based on Generalized Expected-Shortfalls and Applications
Fuente:
arXiv
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866908448110673920 |
|---|---|
| author | Gong, Shuyu Hu, Taizhong Zou, Zhenfeng |
| author_facet | Gong, Shuyu Hu, Taizhong Zou, Zhenfeng |
| contents | This paper proposes a novel class of generalized Expected-Shortfall (ES) norms constructed via distortion risk measures, establishing a unified analytical framework for risk quantification. The proposed norms extend conventional ES methodology by incorporating flexible distortion functions. Specifically, we develop the mathematical duality theory for generalized-ES norms to support portfolio optimization tasks, while demonstrating their practical utility through projection problem solutions. The generalizedES norms are also applied to detect anomalies of financial time series data. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2507_09444 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Norms Based on Generalized Expected-Shortfalls and Applications Gong, Shuyu Hu, Taizhong Zou, Zhenfeng Risk Management This paper proposes a novel class of generalized Expected-Shortfall (ES) norms constructed via distortion risk measures, establishing a unified analytical framework for risk quantification. The proposed norms extend conventional ES methodology by incorporating flexible distortion functions. Specifically, we develop the mathematical duality theory for generalized-ES norms to support portfolio optimization tasks, while demonstrating their practical utility through projection problem solutions. The generalizedES norms are also applied to detect anomalies of financial time series data. |
| title | Norms Based on Generalized Expected-Shortfalls and Applications |
| topic | Risk Management |
| url | https://arxiv.org/abs/2507.09444 |