On Coherency and Other Properties of MAXVAR
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...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
2018
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| Online Access: | http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/65771 |
| _version_ | 1848761200335126528 |
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| author | Sun, Jie Yao, Q. |
| author_facet | Sun, Jie Yao, Q. |
| author_sort | Sun, Jie |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T10:27:53Z |
| format | Journal Article |
| id | curtin-20.500.11937-65771 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T10:27:53Z |
| publishDate | 2018 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-657712022-10-27T04:42:30Z On Coherency and Other Properties of MAXVAR Sun, Jie Yao, Q. 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. 2018 Journal Article http://hdl.handle.net/20.500.11937/65771 10.1007/s10013-017-0262-y http://purl.org/au-research/grants/arc/DP160102819 fulltext |
| spellingShingle | Sun, Jie Yao, Q. On Coherency and Other Properties of MAXVAR |
| title | On Coherency and Other Properties of MAXVAR |
| title_full | On Coherency and Other Properties of MAXVAR |
| title_fullStr | On Coherency and Other Properties of MAXVAR |
| title_full_unstemmed | On Coherency and Other Properties of MAXVAR |
| title_short | On Coherency and Other Properties of MAXVAR |
| title_sort | on coherency and other properties of maxvar |
| url | http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/65771 |