Let $a>0$ and consider the risk measure $ho(X)=mathrm{E}[-X]+a sigma(X)$. Is this a coherent risk measure? If not,

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Let $a>0$ and consider the risk measure $ho(X)=\mathrm{E}[-X]+a \sigma(X)$. Is this a coherent risk measure? If not, which axioms are violated?

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Investment Science

ISBN: 9780199740086

2nd Edition

Authors: David G. Luenberger

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Question Posted: Apr 19, 2024 02:01 AM

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Let $a>0$ and consider the risk measure $ho(X)=mathrm{E}[-X]+a sigma(X)$. Is this a coherent risk measure? If not,

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Investment Science

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