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SlideVaR: a risk measure with variable risk attitudes

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  • Wentao Hu

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.

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  • Wentao Hu, 2019. "SlideVaR: a risk measure with variable risk attitudes," Papers 1907.11855, arXiv.org.
    • Handle: RePEc:arx:papers:1907.11855
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