Spectral risk measure
id:
spectral-risk-measure-322-13372320
title:
Spectral risk measure
text:
A Spectral risk measure is a risk measure given as a weighted average of outcomes where bad outcomes are, typically, included with larger weights. A spectral risk measure is a function of portfolio returns and outputs the amount of the numeraire to be kept in reserve. A spectral risk measure is always a coherent risk measure, but the converse does not always hold. An advantage of spectral measures is the way in which they can be related to risk aversion, and particularly to a utility function, t
brand slug:
wiki
category slug:
encyclopedia
description:
original url:
https://en.wikipedia.org/wiki/Spectral_risk_measure
date created:
date modified:
2024-01-11T06:31:43Z
main entity:
{"identifier":"Q7575204","url":"https://www.wikidata.org/entity/Q7575204"}
image:
fields total:
13
integrity:
13