Consider the MAXVAR risk measure on L^2 space. We present a simple and direct proof of its coherency and aversity . 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.
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.
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This paper is concerned with
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a simple
an elementary
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aversity
averseness
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CVAR
CVaR