Rates of almost sure convergence of plug-in estimates for distortion risk measures
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Bibliographic InfoArticle provided by Springer in its journal Metrika.
Volume (Year): 74 (2011)
Issue (Month): 2 (September)
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Web page: http://www.springerlink.com/link.asp?id=102509
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Review of Business and Economics,
Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, vol. 0(2), pages 265-278.
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- Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July.
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- Carlo Acerbi & Dirk Tasche, 2001. "Expected Shortfall: a natural coherent alternative to Value at Risk," Papers cond-mat/0105191, arXiv.org.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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