Carlo Acerbi : Citation Profile


Are you Carlo Acerbi?

Budapesti Corvinus Egyetem (50% share)
University of Essex (50% share)

7

H index

7

i10 index

674

Citations

RESEARCH PRODUCTION:

4

Articles

5

Papers

RESEARCH ACTIVITY:

   7 years (2001 - 2008). See details.
   Cites by year: 96
   Journals where Carlo Acerbi has often published
   Relations with other researchers
   Recent citing documents: 104.    Total self citations: 5 (0.74 %)

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ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pac74
   Updated: 2019-09-14    RAS profile: 2014-08-08    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Carlo Acerbi.

Is cited by:

Csóka, Péter (34)

Herings, P. Jean-Jacques (18)

Kóczy, László (15)

cotter, john (13)

Tasche, Dirk (11)

Kondor, Imre (11)

Xu, Mingxin (7)

Pintér, Miklós (6)

Guillen, Montserrat (6)

Fabozzi, Frank (6)

Nagot, Isabelle (5)

Cites to:

Tasche, Dirk (9)

Artzner, Philippe (4)

Jarrow, Robert (1)

Main data


Where Carlo Acerbi has published?


Journals with more than one article published# docs
Journal of Banking & Finance2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org5

Recent works citing Carlo Acerbi (2018 and 2017)


YearTitle of citing document
2017NOTE ON SIMPLE AND LOGARITHMIC RETURN. (2017). Panna, Miskolczi. In: APSTRACT: Applied Studies in Agribusiness and Commerce. RePEc:ags:apstra:265595.

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2017Scenario generation for single-period portfolio selection problems with tail risk measures: coping with high dimensions and integer variables. (2017). Wallace, Stein ; Fairbrother, Jamie ; Turner, Amanda . In: Papers. RePEc:arx:papers:1511.04935.

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2018A composition between risk and deviation measures. (2018). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1511.06943.

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2017Comonotonic risk measures in a world without risk-free assets. (2017). Svindland, Gregor ; Koch-Medina, Pablo ; Munari, Cosimo. In: Papers. RePEc:arx:papers:1602.05477.

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2017Unbiased estimation of risk. (2017). Pitera, Marcin ; Schmidt, Thorsten. In: Papers. RePEc:arx:papers:1603.02615.

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2019Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach. (2017). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas. In: Papers. RePEc:arx:papers:1610.07694.

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2017The case of Less is more: Modelling risk-preference with Expected Downside Risk. (2017). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1704.05332.

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2018Extended Gini-type measures of risk and variability. (2018). Berkhouch, Mohammed ; Lakhnati, Ghizlane. In: Papers. RePEc:arx:papers:1707.07322.

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2018A robust approach for minimization of risk measurement errors. (2018). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2017Value-at-Risk and Expected Shortfall for the major digital currencies. (2017). Stavroyiannis, Stavros. In: Papers. RePEc:arx:papers:1708.09343.

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2018Optimizing S-shaped utility and implications for risk management. (2018). Armstrong, John ; Brigo, Damiano. In: Papers. RePEc:arx:papers:1711.00443.

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2017Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level. (2017). Kato, Takashi. In: Papers. RePEc:arx:papers:1711.07335.

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2018Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization. (2018). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas. In: Papers. RePEc:arx:papers:1803.11467.

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2018Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions. (2018). Haskell, William B ; Xu, Huifu ; Huang, Wenjie. In: Papers. RePEc:arx:papers:1805.06632.

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2019A theory for combinations of risk measures. (2018). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2018Monetary Measures of Risk. (2018). Hamel, Andreas H. In: Papers. RePEc:arx:papers:1812.04354.

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2019Statistical arbitrage of coherent risk measures. (2019). Brigo, Damiano ; Armstrong, John. In: Papers. RePEc:arx:papers:1902.10015.

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2019Kernel Based Estimation of Spectral Risk Measures. (2019). Sen, Rituparna ; Biswas, Suparna . In: Papers. RePEc:arx:papers:1903.03304.

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2019Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall. (2019). Tadese, Mekonnen ; Drapeau, Samuel. In: Papers. RePEc:arx:papers:1906.09729.

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2019Is being `Robust beneficial?: A perspective from the Indian market. (2019). Girach, Mohammed Bilal ; Chakrabarty, Siddhartha P ; Oberoi, Shashank. In: Papers. RePEc:arx:papers:1908.05002.

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2018Optimal expected utility risk measures. (2018). Sebastian, Geissel ; Thomas, Seifried Frank ; Jorn, Sass. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:35:y:2018:i:1-2:p:73-87:n:5.

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2017RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES. (2017). Boonen, Tim J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:47:y:2017:i:01:p:303-329_00.

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2018Index tracking model, downside risk and non-parametric kernel estimation. (2018). Huang, Jinbo ; Yao, Haixiang ; Li, Yong. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:103-128.

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2018Approximating expected shortfall for heavy-tailed distributions. (2018). Broda, Simon A ; Paolella, Marc S ; Krause, Jochen . In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:184-203.

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2017The risk-averse newsvendor problem under spectral risk measures: A classification with extensions. (2017). Fichtinger, Johannes ; Arikan, Emel. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:116-125.

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2017Consistent modeling of risk averse behavior with spectral risk measures: Wächter/Mazzoni revisited. (2017). Brandtner, Mario ; Kursten, Wolfgang. In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:1:p:394-399.

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2017Properties and comparison of risk capital allocation methods. (2017). Csóka, Péter ; Balog, Dóra ; Bátyi, Tamás ; Pinter, Miklos ; Csoka, Peter ; Batyi, Tamas Laszlo . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:2:p:614-625.

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2017Integrated operational and financial hedging with capacity reshoring. (2017). Zhao, Lima ; Huchzermeier, Arnd. In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:2:p:557-570.

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2017Decision rule approximations for the risk averse reservoir management problem. (2017). Gauvin, Charles ; Gendreau, Michel ; Delage, Erick . In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:1:p:317-336.

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2017Comonotonic approximation to periodic investment problems under stochastic drift. (2017). Xu, Liang ; Liu, Qinjun ; Kou, Gang ; Gao, Chunyan . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:251-261.

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2017Robust and Pareto optimality of insurance contracts. (2017). Asimit, Alexandru V ; Kim, Eun-Seok ; Hu, Junlei ; Chun, KA ; Bignozzi, Valeria. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:2:p:720-732.

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2018Entropic risk measures and their comparative statics in portfolio selection: Coherence vs. convexity. (2018). Brandtner, Mario ; Rischau, Robert ; Kursten, Wolfgang. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:2:p:707-716.

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2018On the unimodality of the price-setting newsvendor problem with additive demand under risk considerations. (2018). Rubio-Herrero, Javier ; Baykal-Gursoy, Melike. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:3:p:962-974.

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2018Insurance with multiple insurers: A game-theoretic approach. (2018). Asimit, Vali ; Boonen, Tim J. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:2:p:778-790.

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2018Expected shortfall: Heuristics and certificates. (2018). Ramponi, Federico Alessandro ; Campi, Marco C. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:3:p:1003-1013.

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2018Risk management of time varying floors for dynamic portfolio insurance. (2018). Prigent, Jean-Luc ; Prigent, J.-L., ; ben Ameur, H. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:1:p:363-381.

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2019Reverse sensitivity testing: What does it take to break the model?. (2019). Pesenti, Silvana M ; Tsanakas, Andreas ; Millossovich, Pietro. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:2:p:654-670.

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2017Multiple risk measures for multivariate dynamic heavy–tailed models. (2017). Bernardi, Mauro ; Petrella, Lea ; Maruotti, Antonello. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32.

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2018A comparison of risk measures for accidents in the energy sector and their implications on decision-making strategies. (2018). Spada, Matteo ; Burgherr, Peter ; Paraschiv, Florentina. In: Energy. RePEc:eee:energy:v:154:y:2018:i:c:p:277-288.

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2017Convex risk measures based on generalized lower deviation and their applications. (2017). Fu, Tianwen ; Liu, Jia ; Hui, Yongchang ; Zhuang, Xinkai . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:27-37.

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2017Dynamic robust portfolio selection with copulas. (2017). Han, Yingwei ; Xia, Yong ; Li, Ping. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:190-200.

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2017Fair risk allocation in illiquid markets. (2017). Csóka, Péter ; Csoka, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:228-234.

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2018A simulation comparison of risk measures for portfolio optimization. (2018). Righi, Marcelo Brutti ; Borenstein, Denis. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:105-112.

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2018Portfolio valuation under liquidity constraints with permanent price impact. (2018). Csóka, Péter ; Hever, Judit ; Csoka, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:235-241.

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2017Insurance valuation: A computable multi-period cost-of-capital approach. (2017). Engsner, Hampus ; Lindskog, Filip ; Lindholm, Mathias . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:250-264.

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2017Capital allocation for portfolios with non-linear risk aggregation. (2017). Tsanakas, Andreas ; Boonen, Tim J ; Wuthrich, Mario V. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:95-106.

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2017The fundamental theorem of mutual insurance. (2017). Albrecht, Peter ; Huggenberger, Markus . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:180-188.

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2017Optimal insurance design in the presence of exclusion clauses. (2017). Chi, Yichun ; Liu, Fangda . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:185-195.

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2018Distortion measures and homogeneous financial derivatives. (2018). Major, John A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:82-91.

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2018Euler allocations in the presence of non-linear reinsurance: Comment on Major (2018). (2018). Pesenti, Silvana M ; Millossovich, Pietro ; Tsanakas, Andreas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:29-31.

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2019On a family of risk measures based on proportional hazards models and tail probabilities. (2019). Sordo, Miguel A ; Psarrakos, Georgios. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:232-240.

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2019On a family of risk measures based on largest claims. (2019). Sordo, M A ; Pigueiras, G ; Castao-Martinez, A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:92-97.

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2018Using expected shortfall for credit risk regulation. (2018). Osmundsen, Kjartan Kloster . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:80-93.

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2019Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility. (2019). Brigo, Damiano ; Armstrong, John. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:122-135.

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2019Expected shortfall and portfolio management in contagious markets. (2019). nicolosi, marco ; Kokholm, Thomas ; Buccioli, Alice. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:102:y:2019:i:c:p:100-115.

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2017Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks. (2017). Furman, Edward ; Zitikis, Riardas ; Wang, Ruodu. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:70-84.

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2018Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall. (2018). Lok, Yen ; McNeil, Alexander J ; Kratz, Marie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:393-407.

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2018Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity. (2018). Brandtner, Mario. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:89:y:2018:i:c:p:138-149.

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2018Unbiased estimation of risk. (2018). Pitera, Marcin ; Schmidt, Thorsten. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:133-145.

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2018Value at risk and expected shortfall based on Gram-Charlier-like expansions. (2018). Zoia, Maria ; Nicolussi, Federica ; Biffi, Paola . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:92-104.

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2017Multivariate elliptical truncated moments. (2017). Broda, Simon ; Arismendi, Juan C. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:157:y:2017:i:c:p:29-44.

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2017Risk measurement of a guaranteed annuity option under a stochastic modelling framework. (2017). GAO, Huan ; Liu, Xiaoming ; Mamon, Rogemar. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:132:y:2017:i:c:p:100-119.

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2018Measuring bank downside systemic risk in Taiwan. (2018). Su, Ender ; Wong, Kai Wen. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:172-193.

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2018Dynamic hedging performance and downside risk: Evidence from Nikkei index futures. (2018). Ubukata, Masato. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:270-281.

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2019Choosing expected shortfall over VaR in Basel III using stochastic dominance. (2019). McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio ; Maasoumi, Esfandiar . In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:95-113.

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2018A chance-constrained two-stage stochastic programming model for humanitarian relief network design. (2018). Eli, Ozgun ; Noyan, Nilay. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:108:y:2018:i:c:p:55-83.

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2017A link-based mean-excess traffic equilibrium model under uncertainty. (2017). Chen, Anthony ; Yang, Chao ; Cheng, Lin ; Xu, Xiangdong. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:95:y:2017:i:c:p:53-75.

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2017Computation of the Corrected Cornish-Fisher Expansion using the Response Surface Methodology: Application to V aR and CV aR. (2017). Barthélémy, Fabrice ; Maillard, Didier ; Amedee-Manesme, Charles-Olivier. In: THEMA Working Papers. RePEc:ema:worpap:2017-21.

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2017Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors. (2017). Nesmith, Travis ; Oh, Dong Hwan ; Dobrev, Dobrislav. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2016-65.

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2017Mutual Funds Performance Assessment Techniques: Comparative Analysis. (2017). Olkova, Anna E. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:170307:p:85-95.

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2018Duality Based Risk Mitigation Method for Construction of Joint Hydro-Wind Coordination Short-Run Marginal Cost Curves. (2018). Ilak, Perica ; Delimar, Marko ; Akovi, Josip ; Rajl, Ivan . In: Energies. RePEc:gam:jeners:v:11:y:2018:i:5:p:1254-:d:146303.

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2017Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors. (2017). Nesmith, Travis ; Oh, Dong Hwan ; Dobrev, Dobrislav. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:1:p:5-:d:89239.

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2019CVaR Regression Based on the Relation between CVaR and Mixed-Quantile Quadrangles. (2019). Uryasev, Stan ; Kuzmenko, Viktor ; Golodnikov, Alex. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:107-:d:242988.

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2017A Review and Some Complements on Quantile Risk Measures and Their Domain. (2017). Fuchs, Sebastian ; Schmidt, Klaus D ; Schlotter, Ruben. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:59-:d:117902.

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2018Desirable Portfolios in Fixed Income Markets: Application to Credit Risk Premiums. (2018). Garrido, Jose ; Okhrati, Ramin. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:23-:d:136998.

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2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

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2018Bootstrapping Average Value at Risk of Single and Collective Risks. (2018). Beutner, Eric ; Zahle, Henryk. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:96-:d:169405.

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2018The Asymptotic Decision Scenarios of an Emerging Stock Exchange Market: Extreme Value Theory and Artificial Neural Network. (2018). Musah, Abdul-Aziz Ibn ; Abdul-Rasheed, Alhassan Alolo ; Ud, Hira Salah. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:132-:d:183344.

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2018A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations. (2018). Fischer, Matthias ; Pfeuffer, Marius ; Moser, Thorsten. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:142-:d:188842.

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2018Maslow Portfolio Selection for Individuals with Low Financial Sustainability. (2018). Wong, Wing-Keung ; Hui, Yongchang ; Li, Xinge. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:4:p:1128-:d:140258.

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2017Impact of multimodality of distributions on VaR and ES calculations. (2017). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01491990.

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2019Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie. In: Working Papers. RePEc:hal:wpaper:halshs-01909375.

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2019The risk-based core for cooperative games with uncertainty. (2019). Kóczy, László. In: IEHAS Discussion Papers. RePEc:has:discpr:1906.

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2018Financial statements based bank risk aggregation. (2018). Li, Jianping ; Wu, Dengsheng ; Zhu, Xiaoqian ; Lee, Cheng-Few ; Wei, LU. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:3:d:10.1007_s11156-017-0642-0.

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2017A likviditás és a permanens árhatás szerepe a portfólióértékelésben. (2017). Hever, Judit. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1702.

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2018A részvénytartás spektrális kockázata hosszú távon. (2018). Csóka, Péter ; Kondor, Gabor ; Bihary, Zsolt. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1782.

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2019Abszolút hozamú befektetési alapok teljesítményének értékelése - a teljesítménymanipulálás kimutatása. (2019). Racz, David Andor. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1856.

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2017Impact of multimodality of distributions on VaR and ES calculations. (2017). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17019.

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2017Extended Gini-type measures of risk and variability. (2017). Berkhouch, Mohammed ; Lakhnati, Ghizlane. In: MPRA Paper. RePEc:pra:mprapa:80329.

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2017Certainty equivalent measures of risk. (2017). Vinel, Alexander ; Krokhmal, Pavlo A. In: Annals of Operations Research. RePEc:spr:annopr:v:249:y:2017:i:1:d:10.1007_s10479-015-1801-0.

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2017A quantitative comparison of risk measures. (2017). Pichler, Alois. In: Annals of Operations Research. RePEc:spr:annopr:v:254:y:2017:i:1:d:10.1007_s10479-017-2397-3.

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2018Superquantile/CVaR risk measures: second-order theory. (2018). Rockafellar, Tyrrell R ; Royset, Johannes O. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:1:d:10.1007_s10479-016-2129-0.

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2018When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management. (2018). Barnard, Roger W ; Trindade, Alexandre A ; Pearce, Kent. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:1:d:10.1007_s10479-017-2547-7.

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2017Approximating exact expected utility via portfolio efficient frontiers. (2017). Carleo, Alessandra ; Ricci, Jacopo Maria ; Gheno, Andrea ; Cesarone, Francesco . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:40:y:2017:i:1:d:10.1007_s10203-017-0201-0.

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2017On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. (2017). Madan, D ; Stadje, M ; Pistorius, M. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0339-1.

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2018Replicating portfolio approach to capital calculation. (2018). Cambou, Mathieu ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0347-1.

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2018Tail expectile process and risk assessment. (2018). STUPFLER, Gilles ; Girard, Stephane ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:32890.

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2018ExpectHill estimation, extreme risk and heavy tails. (2018). STUPFLER, Gilles ; Girard, Stephane ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:32939.

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More than 100 citations found, this list is not complete...

Works by Carlo Acerbi:


YearTitleTypeCited
2001Expected Shortfall as a Tool for Financial Risk Management In: Papers.
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paper30
2002On the coherence of Expected Shortfall In: Papers.
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paper338
2002On the coherence of expected shortfall.(2002) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 338
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2001Expected Shortfall: a natural coherent alternative to Value at Risk In: Papers.
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paper32
2001Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem In: Papers.
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paper5
2002Portfolio Optimization with Spectral Measures of Risk In: Papers.
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paper13
2002Spectral measures of risk: A coherent representation of subjective risk aversion In: Journal of Banking & Finance.
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article208
2007Coherent measures of risk in everyday market practice In: Quantitative Finance.
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article14
2008Liquidity risk theory and coherent measures of risk In: Quantitative Finance.
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article34

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