Risk measures and return performances: A critical approach

When stating a risk measure, the attention has to be concentrated on the amount of money, which is required to guarantee the feasibility of the final value for the position in exam. But this has to be done in relative terms, with respect to a lower bounding threshold if the aim is safety, with respect to a stimulating target, if the objective is to improve the rentability. Moreover, the attitudes towards potential losses from the demand and offer sides have to be modelled in different ways. Aim of this paper is to review the current literature to show how one-side and intertemporal elements have to be explicitly included in the definition of a risk measure, to give a flexible policy instrument to risk managers. A new one-side dynamic measure is then defined according to suitable coherence conditions.