On the non-existence of conditional value-at-risk under heavy tails and short sales-Reference-Cited by-同舟云学术

On the non-existence of conditional value-at-risk under heavy tails and short sales

Published:2008-05-07 Issue:1 Volume:32 Page:49-60
ISSN:0171-6468
Container-title:OR Spectrum
language:en
Short-container-title:OR Spectrum

Author:

Bamberg Günter,Neuhierl Andreas

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,Business, Management and Accounting (miscellaneous)

Link

http://link.springer.com/content/pdf/10.1007/s00291-008-0138-3.pdf

Reference40 articles.

1. Aas K and Haff IH (2006). The generalized hyperbolic skew student’s t-distribution. J Financ Econ 4: 275–309

2. Acerbi C and Tasche D (2002a). Expected shortfall: a natural coherent alternative to value at risk. Review of banking, Finance Monetary Econ 31: 379–388

3. Acerbi C and Tasche D (2002b). On the coherence of expected shortfall. J Finance 26: 1487–1503

4. Adler RJ, Feldman RE, Taqqu MS (eds) (1998). A practical guide to heavy tails: statistical techniques and applications. Birkhäuser, Basel

5. Akgiray V and Booth GG (1988). The stable-law model of stock returns. J Bus Econ Stat 6: 51–57

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