Timeline for Convex risk measure and a coherent risk measure?
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Feb 14, 2023 at 19:34 | comment | added | Jamie Ballingall | The entropic risk measure (not to be confused with entropic value-at-risk) is an example of a risk measure that is convex but not coherent. | |
| Dec 30, 2015 at 15:42 | comment | added | Richi Wa | Every coherent measure is convex. The reverse is not true (but maybe in a lot of cases ... still not in general). | |
| Dec 30, 2015 at 15:41 | comment | added | Richi Wa | no, but if you have subadditivity and homogeneity then you automatically have a convex risk measure. This is what "implied" means. Coherent implies convex. Thus convex is more general. | |
| Dec 30, 2015 at 15:05 | comment | added | Elekko | So a convex risk measure satisfies 3 axioms: convexity, subadditivity and homogeniety? | |
| Dec 30, 2015 at 14:35 | history | answered | Richi Wa | CC BY-SA 3.0 |