Marco Maggis

Milano University

Via C. Saldini 50

Milano, 20133

Italy

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Risk Measures on and Value at Risk with Probability/Loss Function

Mathematical Finance, Vol. 24, Issue 3, pp. 442-463, 2014
Number of pages: 22 Posted: 11 Jun 2014
Marco Frittelli, Marco Maggis and Ilaria Peri
University of Florence - Dipartimento di Matematica, Milano University and University of London - Economics, Mathematics and Statistics
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Abstract:

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Value at Risk, distribution functions, quantiles, law invariant risk measures, quasi‚Äźconvex functions, dual representation