On Coherency and Other Properties of MAXVAR

Jie Sun; Qiang Yao

doi:10.1007/s10013-017-0262-y

On Coherency and Other Properties of MAXVAR

Jie Sun, Qiang Yao

School of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

This paper is concerned with the MAXVAR risk measure on ℒ² space. We present an elementary and direct proof of its coherency and averseness. Based on the observation that the MAXVAR measure is a continuous convex combination of the CVaR measure, we provide an explicit formula for the risk envelope of MAXVAR.

Original language	English
Pages (from-to)	87-94
Number of pages	8
Journal	Vietnam Journal of Mathematics
Volume	46
Issue number	1
DOIs	https://doi.org/10.1007/s10013-017-0262-y
State	Published - 1 Mar 2018

Keywords

Coherent risk measure
Risk averse
Risk envelope

Access to Document

10.1007/s10013-017-0262-y

Cite this

@article{09263357a3bd4bb1809b048a15730db1,

title = "On Coherency and Other Properties of MAXVAR",

abstract = "This paper is concerned with the MAXVAR risk measure on ℒ2 space. We present an elementary and direct proof of its coherency and averseness. Based on the observation that the MAXVAR measure is a continuous convex combination of the CVaR measure, we provide an explicit formula for the risk envelope of MAXVAR.",

keywords = "Coherent risk measure, Risk averse, Risk envelope",

author = "Jie Sun and Qiang Yao",

note = "Publisher Copyright: {\textcopyright} 2017, Vietnam Academy of Science and Technology (VAST) and Springer Nature Singapore Pte Ltd.",

year = "2018",

month = mar,

day = "1",

doi = "10.1007/s10013-017-0262-y",

language = "英语",

volume = "46",

pages = "87--94",

journal = "Vietnam Journal of Mathematics",

issn = "2305-221X",

publisher = "Springer Science + Business Media",

number = "1",

}

TY - JOUR

T1 - On Coherency and Other Properties of MAXVAR

AU - Sun, Jie

AU - Yao, Qiang

PY - 2018/3/1

Y1 - 2018/3/1

N2 - This paper is concerned with the MAXVAR risk measure on ℒ2 space. We present an elementary and direct proof of its coherency and averseness. Based on the observation that the MAXVAR measure is a continuous convex combination of the CVaR measure, we provide an explicit formula for the risk envelope of MAXVAR.

AB - This paper is concerned with the MAXVAR risk measure on ℒ2 space. We present an elementary and direct proof of its coherency and averseness. Based on the observation that the MAXVAR measure is a continuous convex combination of the CVaR measure, we provide an explicit formula for the risk envelope of MAXVAR.

KW - Coherent risk measure

KW - Risk averse

KW - Risk envelope

UR - https://www.scopus.com/pages/publications/85040244898

U2 - 10.1007/s10013-017-0262-y

DO - 10.1007/s10013-017-0262-y

M3 - 文章

AN - SCOPUS:85040244898

SN - 2305-221X

VL - 46

SP - 87

EP - 94

JO - Vietnam Journal of Mathematics

JF - Vietnam Journal of Mathematics

IS - 1

ER -

On Coherency and Other Properties of MAXVAR

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this