Questions tagged [coherent-risk-measure]
The coherent-risk-measure tag has no usage guidance.
8
questions with no upvoted or accepted answers
2
votes
0
answers
174
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 ...
- 41
2
votes
0
answers
87
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 ...
- 373
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 ...
1
vote
0
answers
35
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, ...
1
vote
0
answers
45
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 ...
1
vote
0
answers
91
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 ...
0
votes
0
answers
168
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 ...
- 1
0
votes
0
answers
82
views
Choquet integral risk measure
I have one question that cannot fully understand why. What is the definition of the Choquet integral risk measure?
- 129