The authors would like to thank Prof. Fabio Bellini, University Milano Bicocca, Samuel Drapeau, Humboldt University, as well as an anonymous referee for helpful discussion on this subject. MM acknowledges the financial support provided by the European Social Fund Grant.
RISK MEASURES ON AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION
Article first published online: 18 FEB 2013
© 2013 Wiley Periodicals, Inc.
How to Cite
Frittelli, M., Maggis, M. and Peri, I. (2013), RISK MEASURES ON AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION. Mathematical Finance. doi: 10.1111/mafi.12028
- Article first published online: 18 FEB 2013
- Manuscript received February 2012; final revision received October 2012.
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