Journal of Mathematical Finance

Volume 5, Issue 2 (May 2015)

ISSN Print: 2162-2434   ISSN Online: 2162-2442

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On Historical Value at Risk under Distribution Uncertainty

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DOI: 10.4236/jmf.2015.52010    3,583 Downloads   4,061 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.

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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.

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