Lesnevski, Vadim; Nelson, Barry L.; Staum, Jeremy - In: Management Science 53 (2007) 11, pp. 1756-1769
In financial risk management, coherent risk measures have been proposed as a way to avoid undesirable properties of measures such as value at risk that discourage diversification and do not account for the magnitude of the largest, and therefore most serious, losses. A coherent risk measure...
