Details about Carlo Acerbi
Access statistics for papers by Carlo Acerbi.
Last updated 2014-08-08. Update your information in the RePEc Author Service.
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- On the coherence of Expected Shortfall
Papers, arXiv.org View citations (377)
See also Journal Article in Journal of Banking & Finance (2002)
- Portfolio Optimization with Spectral Measures of Risk
Papers, arXiv.org View citations (13)
- Expected Shortfall as a Tool for Financial Risk Management
Papers, arXiv.org View citations (36)
- Expected Shortfall: a natural coherent alternative to Value at Risk
Papers, arXiv.org View citations (35)
- Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem
Papers, arXiv.org View citations (5)
- Liquidity risk theory and coherent measures of risk
Quantitative Finance, 2008, 8, (7), 681-692 View citations (38)
- Coherent measures of risk in everyday market practice
Quantitative Finance, 2007, 7, (4), 359-364 View citations (16)
- On the coherence of expected shortfall
Journal of Banking & Finance, 2002, 26, (7), 1487-1503 View citations (385)
See also Working Paper (2002)
- Spectral measures of risk: A coherent representation of subjective risk aversion
Journal of Banking & Finance, 2002, 26, (7), 1505-1518 View citations (235)
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