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VaR is not a coherent measure because of monotonicity subadditivity homogeneity translation invariance
VaR is not a coherent measure because of
| monotonicity | ||
| subadditivity | ||
| homogeneity | ||
| translation invariance |
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Competing On Analytics The New Science Of Winning
Authors: Thomas H Davenport, Jeanne G Harris, Gary Loveman
1st Edition
1422103323, 9781422103326
