On Bounds of Value-at-Risk and Convex Risk Measure of Portfolio of Weighted Dependent Risks

doi:10.13371/j.cnki.chin.q.j.m.2018.04.009

Chinese Quarterly Journal of Mathematics ›› 2018, Vol. 33 ›› Issue (4): 421-433.doi: 10.13371/j.cnki.chin.q.j.m.2018.04.009

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On Bounds of Value-at-Risk and Convex Risk Measure of Portfolio of Weighted Dependent Risks

School of Mathematics & Computer Science Shangrao Normal University,School of Mathematical Sciences Xiamen University . Department of Mathematical Sciences Stevens Institute of Technology.

Accepted:2017-04-18 Online:2018-12-30 Published:2020-10-07
About author:XING Guo-dong(1973-), male, native of Wuhu, Anhui, teaching assistant of Shangrao Normal University, eangages in quantitative risk management and statistics.

Abstract

Abstract: This note analytically derives lower and upper bounds for Value-at-Risk and convex risk measures of a portfolio of weighted risks in the context of positive dependence.The bounds serve as extensions of the corresponding ones due to Bignozzi et al.(2015).Also, DUspread of value-at-risk and expected shortfall of Bignozzi et al.(2015) are also improved in some particular cases.

Key words: DU-spread, Expected shortfall, Lower orthant order, Upper orthant order, Weakly conditional increasing in sequence order

CLC Number:

O211.67

XING Guo-dong, LI Xiao-hu. On Bounds of Value-at-Risk and Convex Risk Measure of Portfolio of Weighted Dependent Risks[J]. Chinese Quarterly Journal of Mathematics, 2018, 33(4): 421-433.

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On Bounds of Value-at-Risk and Convex Risk Measure of Portfolio of Weighted Dependent Risks

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