Exponential Spectral Risk Measures
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References listed on IDEAS
- 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.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
More about this item
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G0 - Financial Economics - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-09 (All new papers)
- NEP-BAN-2011-04-09 (Banking)
- NEP-RMG-2011-04-09 (Risk Management)
- NEP-UPT-2011-04-09 (Utility Models & Prospect Theory)
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