The Gluevar Risk Measure and Investor’s Attitudes to Risk–An Application to the Non-Ferrous Metals Market

Krężołek Dominik ()
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Krężołek Dominik: University of Economics in Katowice, ; Katowice, ; Poland

Statistics in Transition New Series, 2016, vol. 17, issue 2, 305-316

Abstract: Investing in the economic world, characterized by a high level of uncertainty and volatility, entails a higher level of risk related to investment. One of the most commonly used risk measure is Value-at-Risk. However, despite the ease of calculation and interpretation, this measure suffers from a significant drawback - it is not subadditive. This property is the key issue in terms of portfolio diversification. Another risk measure, which meets this assumption, has been proposed - Conditional Value-at-Risk, defined as a conditional loss beyond Value-at-Risk. However, the choice of a risk measure is an individual decision of an investor and it is directly related to his attitudes to risk.

Keywords: risk; metal market; subadditivity; VaR; GlueVaR (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:stintr:v:17:y:2016:i:2:p:305-316:n:7

DOI: 10.21307/stattrans-2016-021

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