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The Incremental Expected Shortfall-Based Pricing: Application to a Cost-Effective Hedge of an Electricity Price-Volume Quanto Risk
Authors
Alfredo Ib��ez
Carlo Acerbi
+32 more
Duan Li
Enrico De Giorgi
Fred Benth
Hans Follmer
Harry Markowitz
Hendrik Bessembinder
J P Morgan
Jaillet
Jens C Jackwerth
Jialin Zhao
Jialin Zhao
Kai-Siong Leow
Massimiliano Caporin
Melanie Cao
Michael Ong
Patrick Cheridito
Philippe Jorion
R Rockafellar
Robert J Aumann
Robert R Bliss
Ronald Huisman
Ronald Huisman
Ross Baldick
Sang Baum Kang
Teng Ho
Thomas H Goodwin
William F Sharpe
Wolfgang Karl H�rdle
Xun Zhou
Yacine A�t-Sahalia
Ying Hu
�lvaro Cartea
Publication date
1 January 2016
Publisher
'Elsevier BV'
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Abstract
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info:doi/10.2139%2Fssrn.274714...
Last time updated on 27/11/2020