Multiperiod Maximum Loss is time unit invariant

Time unit invariance is introduced as an additional requirement for multiperiod risk measures: for a constant portfolio under an i.i.d. risk factor process, the multiperiod risk should equal the one period risk of the aggregated loss, for an appropriate choice of parameters and independent of the po...

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Detalles Bibliográficos
Autores principales: Kovacevic, Raimund M., Breuer, Thomas
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2016
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4980860/
https://www.ncbi.nlm.nih.gov/pubmed/27563531
http://dx.doi.org/10.1186/s40064-016-2959-x
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author Kovacevic, Raimund M.
Breuer, Thomas
author_facet Kovacevic, Raimund M.
Breuer, Thomas
author_sort Kovacevic, Raimund M.
collection PubMed
description Time unit invariance is introduced as an additional requirement for multiperiod risk measures: for a constant portfolio under an i.i.d. risk factor process, the multiperiod risk should equal the one period risk of the aggregated loss, for an appropriate choice of parameters and independent of the portfolio and its distribution. Multiperiod Maximum Loss over a sequence of Kullback–Leibler balls is time unit invariant. This is also the case for the entropic risk measure. On the other hand, multiperiod Value at Risk and multiperiod Expected Shortfall are not time unit invariant.
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spelling pubmed-49808602016-08-25 Multiperiod Maximum Loss is time unit invariant Kovacevic, Raimund M. Breuer, Thomas Springerplus Research Time unit invariance is introduced as an additional requirement for multiperiod risk measures: for a constant portfolio under an i.i.d. risk factor process, the multiperiod risk should equal the one period risk of the aggregated loss, for an appropriate choice of parameters and independent of the portfolio and its distribution. Multiperiod Maximum Loss over a sequence of Kullback–Leibler balls is time unit invariant. This is also the case for the entropic risk measure. On the other hand, multiperiod Value at Risk and multiperiod Expected Shortfall are not time unit invariant. Springer International Publishing 2016-08-11 /pmc/articles/PMC4980860/ /pubmed/27563531 http://dx.doi.org/10.1186/s40064-016-2959-x Text en © The Author(s) 2016 Open AccessThis article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
spellingShingle Research
Kovacevic, Raimund M.
Breuer, Thomas
Multiperiod Maximum Loss is time unit invariant
title Multiperiod Maximum Loss is time unit invariant
title_full Multiperiod Maximum Loss is time unit invariant
title_fullStr Multiperiod Maximum Loss is time unit invariant
title_full_unstemmed Multiperiod Maximum Loss is time unit invariant
title_short Multiperiod Maximum Loss is time unit invariant
title_sort multiperiod maximum loss is time unit invariant
topic Research
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4980860/
https://www.ncbi.nlm.nih.gov/pubmed/27563531
http://dx.doi.org/10.1186/s40064-016-2959-x
work_keys_str_mv AT kovacevicraimundm multiperiodmaximumlossistimeunitinvariant
AT breuerthomas multiperiodmaximumlossistimeunitinvariant

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