Exponential Spectral Risk Measures
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Other versions of this item:
- Cotter, John & Dowd, Kevin, 2007. "Exponential Spectral Risk Measures," MPRA Paper 3499, University Library of Munich, Germany.
- Kevin Dowd & John Cotter, 2011. "Exponential Spectral Risk Measures," Papers 1103.5409, arXiv.org.
References listed on IDEAS
- Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July.
- Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
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Cited by:
- Omid Momen & Akbar Esfahanipour & Abbas Seifi, 2020. "A robust behavioral portfolio selection: model with investor attitudes and biases," Operational Research, Springer, vol. 20(1), pages 427-446, March.
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More about this item
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G0 - Financial Economics - - General
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