# Questions tagged [coherent-risk-measure]

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### Standard Deviation and Monotonicity property

I just read that standard deviation is a coherent risk measure, and therefore it should satisfy the monotonicity property: $X_1 \geq X_2 \implies \rho(X_1) \leq \rho(X_2)$ where $X_1,X_2$ are asset ...
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### Example of Coherent Risk measure with Compact Representation

Every coherent risk measure $\rho$ can be represented as $$\rho(X)\triangleq \sup_{Q \in \mathcal{Q}} \mathbb{E}\left[ -X \right],$$ for a set of probability measures $\mathcal{Q}$ defined on the ...
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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 ...
1 vote
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### Duality in conic quadratic programming for good deal measure

I am working on a problem relating to what is known as the "Good Deal risk measure" for production valuation in incomplete markets. I have created the following primal optimization problem, ...
1 vote
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### How to use coherent risk measure for evaluating price?

Coherent risk measures are defined by number of axioms (see e.g. Coherent Risk Measure) but a question that does not seem well studied is how to use them. Let's take a coherent risk measure $\rho$ and ...
1 vote
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### Risk Measure-identication

Let X be a variable with existing moment generating function $M_x(z)=E[e^{zX}]$. Define the following risk measure: $\rho_{\alpha}(X)=inf_{z>0}(z^{-1}ln(\frac{M_x(z)}{1-\alpha}))$ Does anyone know ...
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### How to calculate the ex-ante beta of a portfolio between several rebalancing?

I have a portfolio composed of $N$ assets. I know the one-year beta of these assets, I also know the past (ex-post) beta ($\beta$) of my portfolio. My portfolio changes allocation every month. So I ...
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