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Monetary utility functions
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  • 2016Higher order elicitability and Osband’s principle465 cited
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  • 2015Risk measures with the CxLS property58 cited
  • 2020Risk parity with expectiles57 cited
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  • 2015Unexpected shortfalls of Expected Shortfall: Extreme default profiles and regulatory arbitrage40 cited
  • 2017Robust return risk measures34 cited
  • 2015General convex order on risk aggregation33 cited
  • 2015How Superadditive Can a Risk Measure Be?32 cited
  • 2018Convex Risk Functionals: Representation and Applications31 cited
  • 2022Inf-Convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures30 cited
  • 2016Regulatory arbitrage of risk measures29 cited
  • 2018Robust Forecast Evaluation of Expected Shortfall*27 cited

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2016
Max-stable random sup-measures with comonotonic tail dependence
25 cited