Browsing Interdisciplinary Centres & Research Groups by Subject "Parametric bootstrap"

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Exponential spectral risk measures

Dowd, Kevin ; Cotter, John (University College Dublin. School of Business. Centre for Financial Markets, 2007-03-20)

Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility ...