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1 result for “MAXVAR”

On coherency and other properties of MAXVARq-fin.MF

The MAXVAR risk measure is shown coherent and provides a formula for its risk envelope.

problem Coherency and formula for MAXVAR risk measure.

method Elementary proof of coherency, observation of convex combination, explicit formula derivation.

result MAXVAR risk measure is coherent and has an explicit risk envelope formula.

MAXVAR coherency risk measure CVaR convex combination

2017-03-31abs ↗pdf ↗