Questions tagged [coherent-risk-measure]
The coherent-risk-measure tag has no usage guidance.
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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 ...
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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} \...
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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 ...
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annual excess returns from CAPM on monthly total returns
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 ...
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