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

^*此作品的通讯作者

统计学院

Chongqing Normal University
Curtin University

科研成果: 期刊稿件 › 文章 › 同行评审

摘要

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.

源语言	英语
页（从-至）	87-94
页数	8
期刊	Vietnam Journal of Mathematics
卷	46
期	1
DOI	https://doi.org/10.1007/s10013-017-0262-y
出版状态	已出版 - 1 3月 2018

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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",

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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

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DO - 10.1007/s10013-017-0262-y

M3 - 文章

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On Coherency and Other Properties of MAXVAR

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