John Armstrong and Damiano Brigo show that, in a Black-Scholes market, value-at-risk and expected shortfall are irrelevant in limiting traders’ excessive tail risk-seeking behaviour, as modelled by ...
Economic Theory, Vol. 40, No. 3 (Sep., 2009), pp. 457-471 (15 pages) This paper examines a model of optimal growth where the aggregation of two separate well behaved and concave production ...
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