Coherent Risk Measures and Convex Combinations of the Conditional Value at Risk (C V@R)
The conditional-value-at-risk (C V@R) has been widely used as a risk measure. It is well known, that C V@R is coherent in the sense of Artzner, Delbaen, Eber, Heath (1999). The class of coherent risk measures is convex. It was conjectured, that all coherent risk measures can be represented as convex...
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| Format: | Article |
| Language: | English |
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Austrian Statistical Society
2016-04-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/471 |
| Summary: | The conditional-value-at-risk (C V@R) has been widely used as a risk measure. It is well known, that C V@R is coherent in the sense of Artzner, Delbaen, Eber, Heath (1999). The class of coherent risk measures is convex. It was conjectured, that all coherent risk measures can be represented as convex combinations of C V@R’s. In this note we show that this conjecture is wrong. |
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| ISSN: | 1026-597X |