Monotone Mean L p -Deviation Risk Measures

Jinyang Zhang, Linxiao Wei () and Yijun Hu
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Jinyang Zhang: School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China
Linxiao Wei: College of Science, Wuhan University of Technology, Wuhan 430070, China
Yijun Hu: School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China

Mathematics, 2023, vol. 11, issue 12, 1-11

Abstract: In this paper, we establish a new coherent risk measure on L p , which we refer to as the monotone mean L p -deviation risk measure. Then, the related properties are discussed. Furthermore, from the perspective of acceptance set, we discuss the relationship between the monotone mean L p -deviation risk measure and the monotone Sharpe ratio risk measure. Finally, we extend the monotone mean L p -deviation risk measure to the multivariate setting.

Keywords: coherent risk measure; monotone Sharpe ratio; mean standard deviation risk measure; portfolio (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
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