On Coherency and Other Properties of MAXVAR

Sun, Jie; Yao, Q.

doi:10.1007/s10013-017-0262-y

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Access Status

Open access

Authors

Sun, Jie

Yao, Q.

Date

2018

Type

Journal Article

Metadata

Show full item record

Citation

Sun, J. and Yao, Q. 2018. On Coherency and Other Properties of MAXVAR. Vietnam Journal of Mathematics. 46 (1): pp. 87-94.

Source Title

Vietnam Journal of Mathematics

DOI

10.1007/s10013-017-0262-y

ISSN

2305-221X

School

School of Electrical Engineering, Computing and Mathematical Science (EECMS)

Funding and Sponsorship

http://purl.org/au-research/grants/arc/DP160102819

Remarks

The final publication is available at Springer via http://dx.doi.org/10.1007/s10013-017-0262-y

URI

http://hdl.handle.net/20.500.11937/65771

Collection

Curtin Research Publications

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.