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On Haezendonck risk measures
Bellini, Fabio; Rosazza Gianin, Emanuela - In: Journal of banking & finance 32 (2008) 6, pp. 986-994
Persistent link: https://www.econbiz.de/10003733781
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Risk Management with Expectiles
Bellini, Fabio - 2014
Expectiles (EVaR) are a one-parameter family of coherent risk measures that have been recently suggested as an alternative to quantiles (VaR) and to Expected Shortfall (ES). In this work we review their known properties, we discuss their financial meaning, we compare them with VaR and ES and we...
Persistent link: https://www.econbiz.de/10013049786
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Risk parity with expectiles
Bellini, Fabio; Cesarone, Francesco; Colombo, Christian; … - In: European journal of operational research : EJOR 291 (2021) 3, pp. 1149-1163
Persistent link: https://www.econbiz.de/10012495399
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Parametric measures of variability induced by risk measures
Bellini, Fabio; Fadina, Tolulope; Wang, Ruodu; Wei, Yunran - In: Insurance / Mathematics & economics 106 (2022), pp. 270-284
Persistent link: https://www.econbiz.de/10013380547
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Implicit quantiles and expectiles
Bellini, Fabio; Rroji, Edit; Sala, Carlo - In: Risk management decisions and value under uncertainty, (pp. 733-753). 2022
Persistent link: https://www.econbiz.de/10013342040