On Coherency and Other Properties of MAXVAR

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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...

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Bibliographic Details
Main Authors:	Sun, Jie, Yao, Q.
Format:	Journal Article
Published:	2018
Online Access:	http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/65771

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