monotonicity

  1. S

    Is Variance monotonious

    What is the best way to prove that Variance is monotonious as a risk measure?
  2. Sixcarbs

    Monotonicity

    Hi, this is not about specific question but about the concept of Monotonicity. It did not seem intuitive to me when I read it and I was hoping it was an error, but I just watched the video and it is the same. IF Y>=X then rho(Y) <= rho (X) If Y returns more than X, than the risk of Y must be...
  3. A

    Coherent Risk Measure - Monotonicity

    Hallo, I got stuck on practice question 4. in the study notes for Chapter 3 of Dowd. 4. Portfolios (X) and (Y) each have volatility of 20%, but portfolio (Y) has a higher return and therefore its absolute VaR is lower; i.e., Absolute VaR = - return * T + deviate * volatility * SQRT(T). Which...
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