search

Grefer / MelonsComment

BlogsComment
0 stars 0 forks source link

READING 54: MEASURES OF FINANCIAL RISK #64

Open Grefer opened 4 years ago

Grefer commented 4 years ago

https://www.melonsblog.cn/2020/02/reading-54-measures-of-financial-risk.html#more

Grefer commented 4 years ago

VaR and ES both satisfy all the properties of coherent risk measures for normal distributions. However, only ES satisfies all the properties of coherent risk measures when the assumption of normality is not met.

Grefer commented 4 years ago

Under the mean-variance framework, when a risk-free security is included in the analysis, the optimal set of portfolios lies on a straight line that runs from the risk-free security to the market portfolio.