Monotone Mean Lp-Deviation Risk Measures

被引：1

作者：

Zhang, Jinyang ^{[1
]}

Wei, Linxiao ^{[2
]}

Hu, Yijun ^{[1
]}

机构：

[1] Wuhan Univ, Sch Math & Stat, Wuhan 430072, Peoples R China

[2] Wuhan Univ Technol, Coll Sci, Wuhan 430070, Peoples R China

来源：

MATHEMATICS | 2023年 / 11卷 / 12期

基金：

中国国家自然科学基金;

关键词：

coherent risk measure; monotone Sharpe ratio; mean standard deviation risk measure; portfolio; COHERENT;

D O I：

10.3390/math11122706

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, we establish a new coherent risk measure on L-p, which we refer to as the monotone mean L-p-deviation risk measure. Then, the related properties are discussed. Furthermore, from the perspective of acceptance set, we discuss the relationship between the monotone mean L-p-deviation risk measure and the monotone Sharpe ratio risk measure. Finally, we extend the monotone mean L-p-deviation risk measure to the multivariate setting.

引用

页数：11

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