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 ...
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 ...
I want to calculate annual excess returns on portfolios using monthly returns for a CAPM (for the assets in the portfolio as well as for the benchmark), in order to have more information on the ...