Spectral Risk Measures: Properties and Limitations

Kevin Dowd (), John Cotter and Ghulam Sorwar ()

Journal of Financial Services Research, 2008, vol. 34, issue 1, 75 pages

Keywords: Coherent risk measures; Spectral risk measures; Exponential utility; Power utility; G15 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (38)

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Working Paper: Spectral Risk Measures: Properties and Limitations (2011)
Working Paper: Spectral Risk Measures: Properties and Limitations (2010)
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DOI: 10.1007/s10693-008-0035-6

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