The coherent-risk-measure tag has no wiki summary.
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1answer
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characterization of coherent risk measures
Suppose we are given a coherent risk measure $\rho:L^0\to\mathbb{R}$. Our probability space is taken finite, i.e. $\Omega:=\{\omega_1,\dots,\omega_n\}$ and carrying a probability measure $P$. With ...
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0answers
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Portfolio insurance with a coherent risk measure (CVaR)
I would like to analysis of portfolio insurance under a coherent risk-measure method (CVaR), How can I achieve that? Is there a way to turn the problem into a linear programming problem? or to ...
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Gamma vs. Volatility Risk
Original Question: What is the link between Gamma and the Volatility Risk?
It leads me to ask:
- What is the Volatility Risk definition and what are the good practices to measure it?
Thinking about ...
4
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2answers
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What is the meaning of subadditivity in a risk measure?
The subadditivity reads:
$\rho(X_1+X_2) \leq \rho(X_1) + \rho(X_2)$
What is the meaning of this condition? I can vaguely accept that one should diversify the investment portfolio. Or, I can ...
5
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2answers
225 views
Does a coherent risk measure satisfy the four axioms of von Neumann–Morgenstern?
What is the relationship between the axioms of Artzner et al (1999) for coherent risk measures and the axioms of von Neumann-Morgenstern (1944) for the expected utility theory?
6
votes
1answer
223 views
Which is a more appropriate choice of risk measurement in a utility function, CVaR or VaR?
What is the consensus on which risk measure to use in measuring portfolio risk? I am researching what is the best risk measure to use in a portfolio construction process for a long/short option-free ...
5
votes
1answer
434 views
Value at Risk backtesting (kupiec)
I m doing my research on estimating Value at risk using different assumptions on volatility and then compare my results based on backtesting.
I obtained results and just on question based on my ...
10
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3answers
767 views
Is Conditional Value-at-Risk (CVaR) coherent?
When the risk is defined by a discrete random variable, is CVaR a coherent risk measure? I stick to the following definition of CVaR:
$$ CVaR_\alpha(R) = \min_v \quad \left\{ v + \frac{1}{1-\alpha} ...
10
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4answers
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What is a “coherent” risk measure?
What is a coherent risk measure, and why do we care? Can you give a simple example of a coherent risk measure as opposed to a non-coherent one, and the problems that a coherent measure addresses in ...
