On the coherence of Expected Shortfall
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- Dirk Tasche, 2001. "Conditional Expectation as Quantile Derivative," Papers math/0104190, arXiv.org.
- Carlo Acerbi & Claudio Nordio & Carlo Sirtori, 2001. "Expected Shortfall as a Tool for Financial Risk Management," Papers cond-mat/0102304, arXiv.org.
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- Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
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More about this item
Keywordsexpected shortfall; risk measure; worst conditional expectation; tail con-ditional expectation; value-at-risk (var); conditional value-at-risk (cvar); tail mean; co-herence; quantile; sub-additivity.;
All these keywords.
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