Author:
Buccioli Alice,Kokholm Thomas,Nicolosi Marco
Reference45 articles.
1. Back-testing expected shortfall;C References Acerbi;Risk,2014
2. On the coherence of expected shortfall;C Acerbi;Journal of Banking & Finance,2002
3. Portfolio choice with jumps: A closed-form solution;Y A�t-Sahalia;The Annals of Applied Probability,2009
4. Modeling financial contagion using mutually exciting jump processes;Y A�t-Sahalia;Journal of Financial Economics,2015
5. Portfolio choice in markets with contagion;Y A�t-Sahalia;Journal of Financial Econometrics,2016