Hi David,
I would appreciate if you can clarify 2 points in respect to the coherent risk measure:
1. Can you please explain the Monotonocity and translation invariance?
2. ES is sub additive because the expected return will be higher in 3 bonds portfolio than in 2? Based on the example on the bonds?this is because the Bernoulli distribution is not normal and ES knows how to deal with non-normal distributions?
Thanks a lot,
I would appreciate if you can clarify 2 points in respect to the coherent risk measure:
1. Can you please explain the Monotonocity and translation invariance?
2. ES is sub additive because the expected return will be higher in 3 bonds portfolio than in 2? Based on the example on the bonds?this is because the Bernoulli distribution is not normal and ES knows how to deal with non-normal distributions?
Thanks a lot,