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- W4288278635 abstract "To find a trade-off between profitability and prudence, financial practitioners need to choose appropriate risk measures. Two key points are: Firstly, investors' risk attitudes under uncertainty conditions should be an important reference for risk measures. Secondly, risk attitudes are not absolute. For different market performance, investors have different risk attitudes. We proposed a new risk measure named SlideVaR which sufficiently reflects the different subjective attitudes of investors and the impact of market changes on investors' attitudes. We proposed the concept of risk-tail region and risk-tail sub-additivity and proved that SlideVaR satisfies several important mathematical properties. Moreover, SlideVaR has a simple and intuitive form of expression for practical application. Several simulate and empirical computations show that SlideVaR has obvious advantages in markets where the state changes frequently." @default.
- W4288278635 created "2022-07-28" @default.
- W4288278635 creator A5011755814 @default.
- W4288278635 date "2019-07-27" @default.
- W4288278635 modified "2023-09-30" @default.
- W4288278635 title "SlideVaR: a risk measure with variable risk attitudes" @default.
- W4288278635 doi "https://doi.org/10.48550/arxiv.1907.11855" @default.
- W4288278635 hasPublicationYear "2019" @default.
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