Minimizing Risk Exposure when the Choice of a Risk Measure is Ambiguous
Since the financial crisis of 2007-2009, there has been a renewed interest toward quantifying more appropriately the risks involved in financial positions. Popular risk measures such as variance and value-at-risk have been found inadequate as we now give more importance to properties such as monotonicity, convexity, translation invariance, scale invariance, and law invariance. Unfortunately, the … Read more