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

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