On Coherency and Other Properties of MAXVAR
| dc.contributor.author | Sun, Jie | |
| dc.contributor.author | Yao, Q. | |
| dc.date.accessioned | 2018-02-19T07:59:37Z | |
| dc.date.available | 2018-02-19T07:59:37Z | |
| dc.date.created | 2018-02-19T07:13:32Z | |
| dc.date.issued | 2018 | |
| dc.identifier.citation | Sun, J. and Yao, Q. 2018. On Coherency and Other Properties of MAXVAR. Vietnam Journal of Mathematics. 46 (1): pp. 87-94. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/65771 | |
| dc.identifier.doi | 10.1007/s10013-017-0262-y | |
| dc.description.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. | |
| dc.relation.sponsoredby | http://purl.org/au-research/grants/arc/DP160102819 | |
| dc.title | On Coherency and Other Properties of MAXVAR | |
| dc.type | Journal Article | |
| dcterms.source.volume | 46 | |
| dcterms.source.number | 1 | |
| dcterms.source.startPage | 87 | |
| dcterms.source.endPage | 94 | |
| dcterms.source.issn | 2305-221X | |
| dcterms.source.title | Vietnam Journal of Mathematics | |
| curtin.note |
The final publication is available at Springer via http://dx.doi.org/10.1007/s10013-017-0262-y | |
| curtin.department | School of Electrical Engineering, Computing and Mathematical Science (EECMS) | |
| curtin.accessStatus | Open access |