Multiperiod Maximum Loss is time unit invariant.
Ontology highlight
ABSTRACT:
SUBMITTER: Kovacevic RM
PROVIDER: S-EPMC4980860 | biostudies-literature | 2016
REPOSITORIES: biostudies-literature
Publications
Multiperiod Maximum Loss is time unit invariant.
Kovacevic Raimund M RM Breuer Thomas T
SpringerPlus 20160811 1
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, multipe ...[more]
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