Computation of expected shortfall by fast detection of worst scenarios
Bruno Bouchard, Adil Reghai and Benjamin Virrion
| Year of publication: |
2021
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|---|---|
| Authors: | Bouchard, Bruno ; Reghai, Adil ; Virrion, Benjamin |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 7, p. 1087-1108
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| 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 |
| 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