A decomposition of a sub-class of spectral risk measures is introduced in terms of L-moments accounting for geometric characteristics of the return distribution similar to the ones described by the ordinary moments.
Professor of Finance, EDHEC Business School
|Type :||Working paper|
|Date :||le 06/12/2010|
|Extra information :||For more information, please contact Joanne Finlay, EDHEC Research and Development Department [ firstname.lastname@example.org ] The contents of this paper do not necessarily reflect the opinions of EDHEC Business School.|
|Research Cluster :||Finance|