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Spectral measures of risk: A coherent representation of subjective risk aversion
Journal of Banking & Finance · 2002 · Vol. 26(7) · pp. 1505–1518
Carlo Acerbi✉(Databank (Italy))
Risk and Portfolio OptimizationReservoir Engineering and Simulation MethodsStochastic processes and financial applicationsMeasure (data warehouse)Coherence (philosophical gambling strategy)Risk aversion (psychology)MathematicsInterpretation (philosophy)Representation (politics)EstimatorSpace (punctuation)Coherent risk measureRisk measure
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References
On the coherence of expected shortfall
Journal of Banking & Finance · 2002 · 1,566 citations
Conditional value-at-risk for general loss distributions
Journal of Banking & Finance · 2002 · 3,623 citations
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