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An Axiomatic Foundation for the Expected Shortfall · Study

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ArticleAn Axiomatic Foundation for the Expected Shortfall

Ruodu Wang2019

OA

Articlegreen2019

An Axiomatic Foundation for the Expected Shortfall

Ruodu Wang · Ričardas Zitikis

118 citations·0/0 files stored·Management Science

No readable copy stored yet — this record is metadata only.

Risk and Portfolio Optimization Financial Risk and Volatility Modeling Probability and Risk Models

Abstract

No abstract was published for this record.

Citations in this library

Stored only when both papers are in the corpus — 118 citations exist upstream.

References

1999Coherent Measures of Risk 2002Conditional value-at-risk for general loss distributions 1982A theory of anticipated utility 2004Subjective probability and expected utility without additivity 1987The Dual Theory of Choice under Risk 2016CoVaR 1989Subjective Probability and Expected Utility without Additivity 2006Quantitative Risk Management: Concepts, Techniques, and Tools

Cited by

2024Volatility forecasting and assessing risk of financial markets using multi-transformer neural network based architecture 2022Star-Shaped Risk Measures 2019PELVE: Probability Equivalent Level of VaR and ES 2021One axiom to rule them all: An axiomatization of quantiles 2025Anticomonotonicity for preference axioms: The natural counterpart to comonotonicity 2020Dependence and Risk Attitudes: An Equivalence

Details

Year2019

Typearticle

Published2019-01-01

VenueManagement Science

ISSN-L0025-1909

Languageen

Citations118

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1287/mnsc.2020.3617

openalex_workW2974378149

Links

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