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Seven Proofs for the Subadditivity of Expected Shortfall

Paul Embrechts, Ruodu Wang (2015)

Dependence Modeling

Subadditivity is the key property which distinguishes the popular risk measures Value-at-Risk and Expected Shortfall (ES). In this paper we offer seven proofs of the subadditivity of ES, some found in the literature and some not. One of the main objectives of this paper is to provide a general guideline for instructors to teach the subadditivity of ES in a course. We discuss the merits and suggest appropriate contexts for each proof.With different proofs, different important properties of ES are...

Simple topological measures and a lifting problem

Finn F. Knudsen (2008)

Fundamenta Mathematicae

We state a certain lifting conjecture and prove it in the case of a torus. From this result we are able to construct a connected dense subset of the space of intrinsic simple topological measures on the torus, consisting of push forwards of compactly supported generalized point-measures on the universal covering space. Combining this result with an observation of Johansen and Rustad, we conclude that the space of simple topological measures on a torus is connected.

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