Aggregate Risk: Coherent Risk Measures

This lecture covers the importance of understanding aggregate risk, coherent risk measures, and their extensions. It discusses the relationship between total risk and individual risks, the interpretation of risk measures, and the axioms defining coherent risk measures. The lecture also explores the Fréchet problem, portfolio optimization with risk constraints, and the bounds for aggregate risk. Additionally, it delves into the interpretation of risk measures, the axioms of coherence, and the implications of translation invariance, subadditivity, and positive homogeneity.