Portfolio Optimization with Spectral Measures of Risk
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- Carlo Acerbi & Dirk Tasche, 2002. "Expected Shortfall: A Natural Coherent Alternative to Value at Risk," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 31(2), pages 379-388, 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.
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- Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014.
"A dynamic autoregressive expectile for time-invariant portfolio protection strategies,"
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