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q-fin.MF2021
An axiomatization of -quantiles
Fabio Bellini, Ilaria Peri
We give an axiomatic foundation to -quantiles, a family of generalized quantiles introduced by Frittelli et al. (2014) under the name of Lambda Value at Risk. Under mild assumpt…
q-fin.RM2021★ 8 cited
Risk contributions of lambda quantiles
Akif Ince, Ilaria Peri, Silvana Pesenti
Risk contributions of portfolios form an indispensable part of risk adjusted performance measurement. The risk contribution of a portfolio, e.g., in the Euler or Aumann-Shapley fra…