On coherency and other properties of MAXVAR

Jie Sun and Qiang Yao

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Abstract: 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.

Date: 2017-03, Revised 2017-09
New Economics Papers: this item is included in nep-rmg
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Published in Vietnam Journal of Mathematics, 46:87-94 (2018)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1703.10981

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