Measure Of Portfolio Risk Additivity

This article focuses on the portfolio risk and the correspondingput option pricing problem. The strike price can be given the budgetconstraints, to minimize the specific measure of financial risk. Asingle underlying asset and a weighted sum of underlyings were deducedrespectively, focusing to portfolio to approximate linear additive.First, a large class of consistent risk VaR measure methods throughoperation properties better VaR method. For risk investment portfolio,this paper studies risk the risk of the asset itself, both alsoinvestigates the put option risk of the underlying asset. As this riskis comonotonic, risk minimization problems easier to handle. For thenoncomonotonic risk, can take of the convex order of comonotonic sumto replace the comonotonic risk method approaching the upper bound.Random variables with appropriate selection conditions as comonotonicsum of lower bound, thus achieve the goal of approximate linearadditive. Finally, this article proposed method is applied to twopricing cases: Black-Scholes Pricing Model of portfolio, and comparewith other methods of VaR.