Modified expected shortfall: a new robust coherent risk measure

2013 ◽  
Vol 16 (1) ◽  
pp. 69-83 ◽  
Author(s):  
Deepak Jadhav ◽  
T. V. Ramanathan ◽  
U. V. Naik-Nimbalkar
Keyword(s):  
Risk Measure ◽  
Expected Shortfall ◽  
Coherent Risk Measure ◽  
Coherent Risk

INSTABILITY OF PORTFOLIO OPTIMIZATION UNDER COHERENT RISK MEASURES

2010 ◽  
Vol 13 (03) ◽  
pp. 425-437 ◽  
Author(s):  
IMRE KONDOR ◽  
ISTVÁN VARGA-HASZONITS
Keyword(s):  
Portfolio Optimization ◽  
Risk Measures ◽  
Risk Measure ◽  
Expected Shortfall ◽  
Optimal Portfolio ◽  
The Other ◽  
Coherent Risk Measures ◽  
Coherent Risk ◽  
Large Samples

It is shown that the axioms for coherent risk measures imply that whenever there is a pair of portfolios such that one of them dominates the other in a given sample (which happens with finite probability even for large samples), then there is no optimal portfolio under any coherent measure on that sample, and the risk measure diverges to minus infinity. This instability was first discovered in the special example of Expected Shortfall which is used here both as an illustration and as a springboard for generalization.

A trade execution model under a composite dynamic coherent risk measure

2015 ◽  
Vol 43 (1) ◽  
pp. 52-58 ◽  
Author(s):  
Qihang Lin ◽  
Xi Chen ◽  
Javier Peña
Keyword(s):  
Risk Measure ◽  
Coherent Risk Measure ◽  
Coherent Risk ◽  
Execution Model

scholarly journals VECTOR-VALUED COHERENT RISK MEASURE PROCESSES

2014 ◽  
Vol 17 (02) ◽  
pp. 1450011 ◽  
Author(s):  
IMEN BEN TAHAR ◽  
EMMANUEL LÉPINETTE
Keyword(s):  
Continuous Time ◽  
Risk Measures ◽  
Risk Measure ◽  
Time Consistency ◽  
Axiomatic Characterization ◽  
Coherent Risk Measure ◽  
Coherent Risk ◽  
Dynamic Version ◽  
Vector Valued

Introduced by Artzner et al. (1998) the axiomatic characterization of a static coherent risk measure was extended by Jouini et al. (2004) in a multi-dimensional setting to the concept of vector-valued risk measures. In this paper, we propose a dynamic version of the vector-valued risk measures in a continuous-time framework. Particular attention is devoted to the choice of a convenient risk space. We provide dual characterization results, we study different notions of time consistency and we give examples of vector-valued risk measure processes.

Sign in / Sign up

Export Citation Format

Share Document