A simple and robust approach for expected shortfall estimation
Year of publication: |
2021
|
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Authors: | Pan, Zhibin ; Pang, Tao ; Zhao, Yang |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 25.2021, 1, p. 77-107
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Subject: | expected shortfall | tail-based normal approximation | conditional skewness | tail-weight adjustment | small sample | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Erwartungsbildung | Expectation formation | Statistische Verteilung | Statistical distribution |
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