Computation of expected shortfall by fast detection of worst scenarios
Bruno Bouchard, Adil Reghai and Benjamin Virrion
| Year of publication: |
2021
|
|---|---|
| Authors: | Bouchard, Bruno ; Reghai, Adil ; Virrion, Benjamin |
| Subject: | Bayesian filter | Expected shortfall | Ranking and selection | Sequential design | Risikomaß | Risk measure | Bayes-Statistik | Bayesian inference | Theorie | Theory | Portfolio-Management | Portfolio selection | Ranking-Verfahren | Ranking method | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1880618 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012588021