On Coherent Risk Measures Induced by Convex Risk Measures

被引：0
作者：
Zhiping Chen
Qianhui Hu
机构：
[1] Xi’an Jiaotong University,Department of Computing Science, School of Mathematics and Statistics
来源：
Methodology and Computing in Applied Probability | 2018年 / 20卷
关键词：
Coherent risk measure; Convex risk measure; Entropic conditional value-at-risk; Robust representation; Portfolio selection; 62P05; 91B30; 91B28;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We study the close relationship between coherent risk measures and convex risk measures. Inspired by the obtained results, we propose a class of coherent risk measures induced by convex risk measures. The robust representation and minimization problem of the induced coherent risk measure are investigated. A new coherent risk measure, the Entropic Conditional Value-at-Risk (ECVaR), is proposed as a special case. We show how to apply the induced coherent risk measure to realistic portfolio selection problems. Finally, by comparing its out-of-sample performance with that of CVaR, entropic risk measure, as well as entropic value-at-risk, we carry out a series of empirical tests to demonstrate the practicality and superiority of the ECVaR measure in optimal portfolio selection.
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页码：673 / 698
页数：25
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