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The Gluevar Risk Measure and Investor’s Attitudes to Risk–An Application to the Non-Ferrous Metals Market

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  • Krężołek Dominik

    (University of Economics in Katowice, ; Katowice, ; Poland)

Abstract

Investing in the economic world, characterized by a high level of uncertainty and volatility, entails a higher level of risk related to investment. One of the most commonly used risk measure is Value-at-Risk. However, despite the ease of calculation and interpretation, this measure suffers from a significant drawback - it is not subadditive. This property is the key issue in terms of portfolio diversification. Another risk measure, which meets this assumption, has been proposed - Conditional Value-at-Risk, defined as a conditional loss beyond Value-at-Risk. However, the choice of a risk measure is an individual decision of an investor and it is directly related to his attitudes to risk.

Suggested Citation

  • Krężołek Dominik, 2016. "The Gluevar Risk Measure and Investor’s Attitudes to Risk–An Application to the Non-Ferrous Metals Market," Statistics in Transition New Series, Polish Statistical Association, vol. 17(2), pages 305-316, June.
    • Handle: RePEc:vrs:stintr:v:17:y:2016:i:2:p:305-316:n:7
    DOI: 10.21307/stattrans-2016-021
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    References listed on IDEAS

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    1. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
    2. Jaume Belles‐Sampera & Montserrat Guillén & Miguel Santolino, 2014. "Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures," Risk Analysis, John Wiley & Sons, vol. 34(1), pages 121-134, January.
    3. Wang, Shaun, 1996. "Premium Calculation by Transforming the Layer Premium Density," ASTIN Bulletin, Cambridge University Press, vol. 26(1), pages 71-92, May.
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