The General Deviation Measure introduces a progressive definition for financial risk measurement, which presents an alternative to the Coherent Risk Measure. This definition replaces the Translation Invariance and Monotonicity axioms with the Shift Invariance and Nonnegativity axioms, and it includes the Mean Absolute Deviation measure and other variations of the Value-at-Risk measurements. This research shows that Coherent Risk Measure holds an intrinsic contradiction regarding riskless assets, and it proves that the Gini coefficient is also a General Deviation Measure. These contributions improve the efficiency of risk measurement and asset pricing in the financial markets.
Bibliographical notePublisher Copyright:
© 2023 The Authors. International Journal of Economic Theory published by John Wiley & Sons Australia, Ltd on behalf of International Association for Economic Theory.
- Axiomatic Risk Measure
- Coherent Risk Measure
- General Deviation Measure
- Gini coefficient
ASJC Scopus subject areas
- Economics and Econometrics