6558 10 71203 2 197327 document 71203 Coherent Risk Measures and Convex Combinations of the Conditional Value at Risk.pdf application/pdf 01d11219f9f430cd6223dffd370649cb MD5 59031 2016-09-22 10:08:37 https://pure.iiasa.ac.at/id/eprint/6558/1/Coherent%20Risk%20Measures%20and%20Convex%20Combinations%20of%20the%20Conditional%20Value%20at%20Risk.pdf 6558 1 1 application/pdf text en public cc_by

Coherent Risk Measures and Convex Combinations of the Conditional Value at Risk.pdf

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/71203 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/71203 http://eprints.org/relation/isIndexCodesVersionOf https://pure.iiasa.ac.at/id/document/71203 archive 351 disk0/00/00/65/58 2016-01-15 02:14:04 2021-08-27 17:17:42 2016-01-15 02:14:04 article show Pflug G.C. 1361 0000-0001-8215-3550 pub iis_rsk iis_met prog_rms 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. 2002 published Austrian Statistical Society 10.17713/ajs.v31i1.471 XJ-02-063 Austrian Journal of Statistics; 31(1):73-75 [2002] 229 public Austrian Journal of Statistics 31 1 73-75 TRUE 1026-597X FALSE info:eu-repo/semantics/article