On Coherency and Other Properties of MAXVAR
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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.
The final publication is available at Springer via http://dx.doi.org/10.1007/s10013-017-0262-y