| Article ID: | iaor20127755 |
| Volume: | 40 |
| Issue: | 6 |
| Start Page Number: | 431 |
| End Page Number: | 435 |
| Publication Date: | Nov 2012 |
| Journal: | Operations Research Letters |
| Authors: | Shapiro Alexander, Xin Linwei |
| Keywords: | value at risk |
With every law invariant coherent risk measure is associated its conditional analogue. In this paper we discuss lower and upper bounds for the corresponding nested (composite) formulations of law invariant coherent risk measures. In particular, we consider the Average Value‐at‐Risk and comonotonic risk measures.