On Historical Value at Risk under Distribution Uncertainty

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DOI: 10.4236/jmf.2015.52010    3,443 Downloads   3,920 Views  

ABSTRACT

We investigate the asymptotics of the historical value-at-risk under capacities defined by sublinear expectations. By generalizing Glivenko-Cantelli lemma, we show that the historical value-at-risk eventually lies between the upper and lower value-at-risks quasi surely.

Cite this paper

Iizuka, A. and Nakano, Y. (2015) On Historical Value at Risk under Distribution Uncertainty. Journal of Mathematical Finance, 5, 113-115. doi: 10.4236/jmf.2015.52010.

Conflicts of Interest

The authors declare no conflicts of interest.

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