Monotone Mean Lp-Deviation Risk Measures

In this paper, we establish a new coherent risk measure on Lp, which we refer to as the monotone mean Lp-deviation risk measure. Then, the related properties are discussed. Furthermore, from the perspective of acceptance set, we discuss the relationship between the monotone mean Lp-deviation risk me...

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Bibliographic Details
Published in:Mathematics (Basel) 2023-06, Vol.11 (12), p.2706
Main Authors: Zhang, Jinyang, Wei, Linxiao, Hu, Yijun
Format: Article
Language:English
Subjects:
coherent risk measure
Deviation
Food science
Investment policy
mean standard deviation risk measure
monotone Sharpe ratio
Performance evaluation
portfolio
Random variables
Risk
Standard deviation
Citations: Items that this one cites
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Summary:In this paper, we establish a new coherent risk measure on Lp, which we refer to as the monotone mean Lp-deviation risk measure. Then, the related properties are discussed. Furthermore, from the perspective of acceptance set, we discuss the relationship between the monotone mean Lp-deviation risk measure and the monotone Sharpe ratio risk measure. Finally, we extend the monotone mean Lp-deviation risk measure to the multivariate setting.
ISSN:2227-7390
2227-7390
DOI:10.3390/math11122706