On coherency and other properties of MAXVAR
arXiv:1703.10981 · doi:10.1007/s10013-017-0262-y
Abstract
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.
10 pages