Coherent risk measures and convex combinations of the conditional value at risk

Pflug GC (2002). Coherent risk measures and convex combinations of the conditional value at risk. Austrian Journal of Statistics 31 (1): 73-75. DOI:10.17713/ajs.v31i1.471.

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Abstract

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.

Item Type: Article
Research Programs: Risk, Modeling and Society (RMS)
Bibliographic Reference: Austrian Journal of Statistics; 31(1):73-75 [2002]
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:14
Last Modified: 22 Sep 2016 10:16
URI: http://pure.iiasa.ac.at/6558

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