4 papers
Portfolio Optimization with Spectral Measures of Risk
Acerbi Carlo, Simonetti Prospero
We study Spectral Measures of Risk from the perspective of portfolio optimization. We derive exact results which extend to general Spectral Measures M_phi the Pflug--Rockafellar--U…
Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem
Carlo Acerbi
We study a space of coherent risk measures M_phi obtained as certain expansions of coherent elementary basis measures. In this space, the concept of ``Risk Aversion Function'' phi…
Expected Shortfall: a natural coherent alternative to Value at Risk
Carlo Acerbi, Dirk Tasche
We discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the "average of the 100p %…
Expected Shortfall as a Tool for Financial Risk Management
Carlo Acerbi, Claudio Nordio, Carlo Sirtori
We study the properties of Expected Shortfall from the point of view of financial risk management. This measure --- which emerges as a natural remedy in some cases where Value at R…