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“Spectral Risk Measures: Properties and Limitations”: Comment on Dowd, Cotter, and Sorwar
Company: Journal of Financial Services Research
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: August
Resource Link: Click here to open
Download Count: 0
View Count: 1479
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 8-17-2014
Publisher: Administrator
Summary
In their paper “Spectral Risk Measures: Properties and Limitations”, Dowd et al. (J Financ Serv Res 341:61–75, 2008) introduce exponential and power spectral risk measures as subclasses of spectral risk measures (SRMs) to the literature, and claim that they are subject to three serious limitations. In this comment, we show that the findings of Dowd et al. (J Financ Serv Res 341:61–75, 2008) suffer from misinterpretations and wrong conclusions.
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Brandtner, Mario Sign in to follow this author
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