On the non-existence of conditional value-at-risk under heavy tails and short sales
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Publication:2267378
DOI10.1007/S00291-008-0138-3zbMATH Open1183.91066OpenAlexW2012697561MaRDI QIDQ2267378FDOQ2267378
Authors: Günter Bamberg, Andreas Neuhierl 
Publication date: 1 March 2010
Published in: OR Spectrum (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00291-008-0138-3
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Cites Work
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- Portfolio Analysis in a Stable Paretian Market
- Mixtures of \(t\)-distributions for finance and forecasting
- Shortfall as a risk measure: properties, optimization and applications
- Local Expected Shortfall-Hedging in Discrete Time *
- Risk as a primitive: a survey of measures of perceived risk
- Market risk budgeting with value-at-risk-limits for linear positions
- WHY THE RETURN NOTION MATTERS
Cited In (2)
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