The proof to follow is taken from a research paper in risk analysis which is in reviewing. I have been tasked with repeating the results in the paper, under a different risk measure, but I am not sure if the main argument in the paper is correct as it is presented, although I believe the main result should hold.
The context is the following. We are optimizing a risk function over a set of parameters , with particular choices of denoted as respectively. The aim is to establish a criterion for optimality of the parameters.
The argument in the paper is as follows:
Begin by assuming that is chosen such that holds, where is a condition on . It is then possible to show that there exists some such that a condition on holds. We then show that any satisfying is optimal given that is chosen according to . Assume next that is chosen such that holds. Then, one shows that can only be optimal parameters if holds. The conclusion is that choosing such that holds is sufficient for obtaining optimal .
There are two things that make me uneasy about this argument. Firstly, as we begin by assuming a condition on , my instinct is to look next at what happens if does not satisfy .
Secondly, it is easy to find such that does not hold. While existence of satisfying given such that holds, it seems to me like we assume existance in the second part of the proof. Then, we seemingly use the assumed existence of such that to show that we must choose such that , and hence will exists such that . Is this not a circular argument?