  To find a trade-off between profitability and prudence, financial
practitioners need to choose appropriate risk measures. Two key points are:
Firstly, investors' risk attitudes under uncertainty conditions should be an
important reference for risk measures. Secondly, risk attitudes are not
absolute. For different market performance, investors have different risk
attitudes. We proposed a new risk measure named SlideVaR which sufficiently
reflects the different subjective attitudes of investors and the impact of
market changes on investors' attitudes. We proposed the concept of risk-tail
region and risk-tail sub-additivity and proved that SlideVaR satisfies several
important mathematical properties. Moreover, SlideVaR has a simple and
intuitive form of expression for practical application. Several simulate and
empirical computations show that SlideVaR has obvious advantages in markets
where the state changes frequently.
