On the non-existence of conditional value-at-risk under heavy tails and short sales
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Cites work
- scientific article; zbMATH DE number 1221798 (Why is no real title available?)
- Applied Probability and Queues
- Coherent measures of risk
- Efficient hedging: cost versus shortfall risk
- Local Expected Shortfall-Hedging in Discrete Time *
- Market risk budgeting with value-at-risk-limits for linear positions
- Measures of risk
- Mixtures of \(t\)-distributions for finance and forecasting
- Portfolio Analysis in a Stable Paretian Market
- Risk as a primitive: a survey of measures of perceived risk
- Shortfall as a risk measure: properties, optimization and applications
- WHY THE RETURN NOTION MATTERS
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