Questions tagged [coherent-risk-measure]

The tag has no usage guidance.

9 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
2 votes
0 answers
118 views

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 ...
Andrei's user avatar
  • 41
2 votes
0 answers
86 views

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 ...
ABIM's user avatar
  • 371
2 votes
0 answers
167 views

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 ...
Najibeh Sadati's user avatar
1 vote
0 answers
23 views

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, ...
Mikkel Honningsvåg Sandhaug's user avatar
1 vote
0 answers
42 views

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 ...
Mathieu Dutour's user avatar
1 vote
0 answers
90 views

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 ...
Angelica Borges's user avatar
0 votes
0 answers
95 views

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 ...
TLS's user avatar
  • 1
0 votes
0 answers
32 views

Is there a formal notion of a "reward measure"?

A risk measure, as defined in the Wikipedia page, is a function that maps random variables to real numbers and satisfies the normalized, translative, and monotone properties. There are many other ...
Sam42's user avatar
  • 1
0 votes
0 answers
80 views

Choquet integral risk measure

I have one question that cannot fully understand why. What is the definition of the Choquet integral risk measure?
David Nguyen's user avatar