Showing 1 - 10 of 16
Persistent link: https://www.econbiz.de/10011420503
Persistent link: https://www.econbiz.de/10003398777
Persistent link: https://www.econbiz.de/10003470262
Persistent link: https://www.econbiz.de/10011847418
Persistent link: https://www.econbiz.de/10012625694
We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding adjusted Expected Shortfalls quantify risk as the minimum...
Persistent link: https://www.econbiz.de/10012421451
Persistent link: https://www.econbiz.de/10012665201
Persistent link: https://www.econbiz.de/10015048176
Persistent link: https://www.econbiz.de/10011967212
Persistent link: https://www.econbiz.de/10003376364