Computation of the corrected Cornish-Fisher expansion using the response surface methodology : application to VaR and CVaR
Charles-Olivier Amédée-Manesme, Fabrice Barthélémy, Didier Maillard
| Year of publication: |
2019
|
|---|---|
| Authors: | Amédée-Manesme, Charles-Olivier ; Barthélémy, Fabrice ; Maillard, Didier |
| Published in: |
Decision making and risk/return optimization in financial economics. - New York, NY, USA : Springer. - 2019, p. 423-453
|
| Subject: | Cornish-Fisher expansion | Response surface methodology | Quantiles | Value at Risk | Expected shortfall | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-018-2792-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012135898