Kovacevic, R., & Breuer, T. (2016). Multiperiod Maximum Loss is time unit invariant. SpringerPlus, 5, Article 1336. https://doi.org/10.1186/s40064-016-2959-x
E105-04 - Forschungsbereich Variationsrechnung, Dynamische Systeme und Operations Research
-
Journal:
SpringerPlus
-
ISSN:
2193-1801
-
Date (published):
2016
-
Number of Pages:
12
-
Peer reviewed:
Yes
-
Keywords:
Multidisciplinary
-
Abstract:
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, multiperiod Value at Risk and multiperiod Expected Shortfall are not time unit invariant.
