Lambda Expected Shortfall
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摘要
This paper introduces Lambda Expected Shortfall (Λ-ES), a principled generalization of Expected Shortfall parameterized by a decreasing function Λ. Λ-ES is defined as sup_x (ES_{Λ(x)}(X) ∧ x), is the smallest quasi‑convex and law‑invariant risk measure dominating Λ‑VaR under mild conditions, admits a dual representation and an RU‑style optimization representation, and is shown to be L1‑continuous (when Λ<1) and SSD‑consistent, providing a flexible yet diversification‑sensitive alternative to Λ‑VaR [page::0][page::8].
