# Tag Info

Accepted

### What are the advantages of $EVaR$ over $CVaR$?

The entropic value at risk (EVaR) is a coherent risk measure, developed to tackle some computational inefficiencies of the CVaR. It is the tightest possible upper bound for traditional VaR and CVaR, ...
• 3,040
Accepted

### Calculating Expected Shortfall of combined portfolios

Since the bonds are independent we have one of three things that can happen (1) With probability 0.98*0.98 both bonds lose 1 Million, the total loss is 2 Million (2) With probability 2*0.98*0.02 one ...
• 9,382

### Bregman Mean of a Distribution

Note that \begin{align*} f(m) &= \int d_{\gamma}(m,x)\mu(dx)\\ &=\int \big[\gamma(m)-\gamma(x)-\gamma'(x)(m-x)\big]\mu(dx)\\ &=\gamma(m) - \int \big[\gamma(x)+\gamma'(x)(m-x)\big]\mu(dx). \...
• 21.2k
Accepted

### Industry or academic standard frequency to report the return, standard deviation, and Sharpe ratio?

Insofar as a standard exists, it would be a Sharpe ratio from monthly returns using arithmetic rather than log returns. As a rule of thumb, arithmetic returns should always be used in any kind of ...
• 1,643

### Industry or academic standard frequency to report the return, standard deviation, and Sharpe ratio?

The question isn't simply answered and the short answer is it depends on a number of factors. The GIPS standard for investment managers is the only performance reporting standard AFAIK and it can be ...
• 2,131
Accepted

1 vote

### Examples of Spectral Risk Measures

As I know, I think that spectral risk measure is a new kind of measure developed from the CVaR (weighted average value of VaR) and in the framework of coherent risk measures. If you can prove that a ...
• 129
1 vote

### Examples of Spectral Risk Measures

I believe that Prospect Theory (as defined by Kahneman, Amos, and Tversky) implicitly makes use spectral risk measures. Though I am not able to find any literature linking the two, I think there is ...
• 3,015

Only top scored, non community-wiki answers of a minimum length are eligible