49 citations · 57 across the 17 of their papers we have counts for
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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…
q-fin.PM2023
Robust portfolio selection under Recovery Average Value at Risk
Cosimo Munari, Justin Plückebaum, Stefan Weber
We study mean-risk optimal portfolio problems where risk is measured by Recovery Average Value at Risk, a prominent example in the class of recovery risk measures. We establish exi…