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q-fin.RM2024
Risk, utility and sensitivity to large losses
Martin Herdegen, Nazem Khan, Cosimo Munari
Risk and utility functionals are fundamental building blocks in economics and finance. In this paper we investigate under which conditions a risk or utility functional is sensitive…
q-fin.RM2023
An elementary proof of the dual representation of Expected Shortfall
Martin Herdegen, Cosimo Munari
We provide an elementary proof of the dual representation of Expected Shortfall on the space of integrable random variables over a general probability space. Unlike the results in…