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Backtesting expected shortfall : a simple recipe?

Moldenhauer, Felix; Pitera, Marcin - In: Journal of risk 22 (2019) 1, pp. 17-42

Persistent link: https://www.econbiz.de/10013177098

Fair estimation of capital risk allocation

Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin; … - In: Statistics & Risk Modeling 37 (2020) 1-2, pp. 1-24

Abstract In this paper, we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but tractable class of law-invariant coherent risk measures, with a particular focus on expected shortfall. We...

Persistent link: https://www.econbiz.de/10014621278

Discrete-time risk sensitive portfolio optimization with proportional transaction costs

Pitera, Marcin; Stettner, Łukasz - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1287-1313

Persistent link: https://www.econbiz.de/10014370659

A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time

Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin - In: Mathematics of operations research 43 (2018) 1, pp. 204-221

Persistent link: https://www.econbiz.de/10011818748

Long run risk sensitive portfolio with general factors

Pitera, Marcin; Stettner, Łukasz - In: Mathematical methods of operations research 83 (2016) 2, pp. 265-293

Persistent link: https://www.econbiz.de/10011673660

Unbiased estimation of risk

Pitera, Marcin; Schmidt, Thorsten - In: Journal of banking & finance 91 (2018), pp. 133-145

Persistent link: https://www.econbiz.de/10011963654

Estimating and backtesting risk under heavy tails

Pitera, Marcin; Schmidt, Thorsten - In: Insurance / Mathematics & economics 104 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013264930