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Article | 06-July-2017

THE GLUEVAR RISK MEASURE AND INVESTOR’S ATTITUDES TO RISK– AN APPLICATION TO THE NON-FERROUS METALS MARKET

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. In this paper the new risk measure is proposed – the GlueVaR risk measure, which can be defined as a linear combination of VaR and GlueVaR. It allows for calculating the level of investment loss depending on investment’s attitudes to risk. Moreover, GlueVaR meets the subadditivity property, therefore it

Dominik Krężołek

Statistics in Transition New Series, Volume 17 , ISSUE 2, 305–316

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