Extreme M-quantiles as risk measures : from L1 to Lp optimization
Abdelaati Daouia, Stéphane Girard & Gilles Stupfler
| Year of publication: |
[2017]
|
|---|---|
| Authors: | Daouia, Abdelaati ; Girard, Stéphane ; Stupfler, Gilles |
| Publisher: |
[Toulouse] : Toulouse School of Economics |
| Subject: | Asymptotic normality | Dependent observations | Expectiles | Extrapolation | Extreme values | Heavy tails | Lp optimization | Mixing | Quantiles | Tail risk | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Schätztheorie | Estimation theory | Risiko | Risk | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management |
freely available
| Extent: | 1 Online-Ressource (circa 52 Seiten) Illustrationen |
|---|---|
| Series: | Working papers / TSE : WP. - Toulouse, ZDB-ID 2816658-9. - Vol. no 17-841 (September 2017) |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012266461