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arXiv · 1703.10981

On coherency and other properties of MAXVAR

Jie Sun·Qiang Yao
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Abstract

This paper is concerned with the MAXVAR risk measure on L^2 space. We present an elementary and direct proof of its coherency and averseness. Based on the observation that the MAXVAR measure is a continuous convex combination of the CVaR measure, we provide an explicit formula for the risk envelope of MAXVAR.

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Jie Sun, Qiang Yao. 2017-09-06. On coherency and other properties of MAXVAR. https://doi.org/10.1007/s10013-017-0262-y

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