Giorgio Arici received the degree in Telecommunication Engineering and the Master in Communication Technologies and Multimedia (cum laude), in 2013 and 2015 respectively, from the Department of Information Engineering at the University of Brescia, Italy. Since 2015, he has been a PhD Candidate with the Department of Information Engineering in this same university. He finished his PhD career in October, 2018 and currently he is working in the field of industrial property. His main research interests include quantitative finance, risk measurement, information theory, and signal processing.
In this paper, the authors propose a modification of expected shortfall that does not treat all losses equally. We do this in order to represent the worries surrounding big drops that are typical of multiperiod investors.