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On coherency and other properties of MAXVAR

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  • Jie Sun
  • Qiang Yao

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.

Suggested Citation

  • Jie Sun & Qiang Yao, 2017. "On coherency and other properties of MAXVAR," Papers 1703.10981, arXiv.org, revised Sep 2017.
  • Handle: RePEc:arx:papers:1703.10981
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    References listed on IDEAS

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    1. Alexander Cherny & Dilip Madan, 2009. "New Measures for Performance Evaluation," Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2371-2406, July.
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    Cited by:

    1. Jie Sun & Xinmin Yang & Qiang Yao & Min Zhang, 2017. "Risk Minimization, Regret Minimization and Progressive Hedging Algorithms," Papers 1705.00340, arXiv.org, revised Jun 2020.

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