Coherent measures of Risk一致风险测度.pptVIP

Geometrical interpretation If any point represents a given coherent measure ... ... Then any other point in the generated “convex hull” is a new coherent measure of risk Given n coherent measures, their most general convex combination is any of the points contained in the generated “convex hull” Our strategy .... Set of all Expected Shortfalls with ??(0,1] Convex hull = New space of coherent measures We already know infinitely many coherent measures of risk, namely all the possible ?-Expected Shortfalls for any value ? between 0 e 1 In this way we can generate a new class of coherent measur