SlideVaR: a risk measure with variable risk attitudes
Papers from arXiv.org
To find a trade-off between profitability and prudence, financial practitioners need to choose appropriate risk measures. Two key points are: Firstly, investors' risk attitudes under uncertainty conditions should be an important reference for risk measures. Secondly, risk attitudes are not absolute. For different market performance, investors have different risk attitudes. We proposed a new risk measure named SlideVaR which sufficiently reflects the different subjective attitudes of investors and the impact of market changes on investors' attitudes. We proposed the concept of risk-tail region and risk-tail sub-additivity and proved that SlideVaR satisfies several important mathematical properties. Moreover, SlideVaR has a simple and intuitive form of expression for practical application. Several simulate and empirical computations show that SlideVaR has obvious advantages in markets where the state changes frequently.
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1907.11855 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1907.11855
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().