On coherency and other properties of MAXVAR
Mathematical Finance
2018-02-28 v2
Abstract
This paper is concerned with the MAXVAR risk measure on L^2 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.
Cite
@article{arxiv.1703.10981,
title = {On coherency and other properties of MAXVAR},
author = {Jie Sun and Qiang Yao},
journal= {arXiv preprint arXiv:1703.10981},
year = {2018}
}
Comments
10 pages