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Carlo Acerbi

Personal Details

First Name:Carlo
Middle Name:
Last Name:Acerbi
Suffix:
RePEc Short-ID:pac74
[This author has chosen not to make the email address public]

Affiliation

(50%) Befektetések és Vállalati Pénzügy Tanszék
Gazdálkodástudományi Kar
Budapesti Corvinus Egyetem

Budapest, Hungary
http://finance.uni-corvinus.hu/

: +36 1 4825212
+36 1 4825431
1091 Budapest, Fővám tér 8
RePEc:edi:dfcorhu (more details at EDIRC)

(50%) Essex Business School
University of Essex

Colchester, United Kingdom
http://www.essex.ac.uk/ebs/

:
020 76316416
Wivenhoe Park, Colchester C04 3SQ
RePEc:edi:daessuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Acerbi Carlo & Simonetti Prospero, 2002. "Portfolio Optimization with Spectral Measures of Risk," Papers cond-mat/0203607, arXiv.org.
  2. Carlo Acerbi & Dirk Tasche, 2001. "On the coherence of Expected Shortfall," Papers cond-mat/0104295, arXiv.org, revised May 2002.
  3. Carlo Acerbi, 2001. "Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem," Papers cond-mat/0107190, arXiv.org.
  4. Carlo Acerbi & Claudio Nordio & Carlo Sirtori, 2001. "Expected Shortfall as a Tool for Financial Risk Management," Papers cond-mat/0102304, arXiv.org.
  5. Carlo Acerbi & Dirk Tasche, 2001. "Expected Shortfall: a natural coherent alternative to Value at Risk," Papers cond-mat/0105191, arXiv.org.

Articles

  1. Carlo Acerbi & Giacomo Scandolo, 2008. "Liquidity risk theory and coherent measures of risk," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 681-692.
  2. Carlo Acerbi, 2007. "Coherent measures of risk in everyday market practice," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 359-364.
  3. 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.
  4. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.

More information

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Co-authorship network on CollEc

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