On Coherency and Other Properties of MAXVAR
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© 2017, Vietnam Academy of Science and Technology (VAST) and Springer Nature Singapore Pte Ltd. 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.