مرکز منطقه ای اطلاع رساني علوم و فناوري - Spectral measures of risk: A coherent representation of subjective risk aversion

Title of article :

Spectral measures of risk: A coherent representation of subjective risk aversion

Author/Authors :

Carlo Acerbi، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2002

Pages :

From page :

1505

To page :

1518

Keywords :

expected shortfall , Value-at-Risk , Conditional value-at-risk , Risk measure , Coherence , quantile , Subadditivity

Journal title :

Journal of Banking and Finance

Serial Year :

2002

Journal title :

Journal of Banking and Finance

Record number :

193402

Link To Document :