Ideas in Asset and Asset–Liability Management in the Tradition of H.M. Markowitz

Abstract

Distortion risk measures are perspective risk measures because they allow an asset manager to reflect a client's attitude toward risk by choosing the appropri- ate distortion function. In this paper, the idea of asymmetry was applied to the standard construction of distortion risk measures. The new asymmetric distortion risk measures are derived based on the quadratic distortion function with different risk-averse parameters.