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Financial prediction with constrained tail risk

Trindade, A. Alexandre; Uryasev, Stan; Shapiro, Alexander; … - In: Journal of banking & finance 31 (2007) 11, pp. 3524-3538

Persistent link: https://www.econbiz.de/10003577519

Estimation and asymptotics for buffered probability of exceedance

Mafusalov, Alexander; Shapiro, Alexander; Uryasev, Stan - In: European journal of operational research : EJOR 270 (2018) 3, pp. 826-836

Persistent link: https://www.econbiz.de/10011882603

Financial prediction with constrained tail risk

Trindade, A. Alexandre; Uryasev, Stan; Shapiro, Alexander; … - In: Journal of Banking & Finance 31 (2007) 11, pp. 3524-3538

Persistent link: https://www.econbiz.de/10005213750

Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics

Chun, So Yeon; Shapiro, Alexander; Uryasev, Stan - Volkswirtschaftliche Fakultät, … - 2011

We discuss linear regression approaches to conditional Value-at-Risk and Average Value-at-Risk (Conditional Value-at-Risk, Expected Shortfall) risk measures. Two estimation procedures are considered for each conditional risk measure, one is direct and the other is based on residual analysis of...

Persistent link: https://www.econbiz.de/10009278294

Financial prediction with constrained tail risk

Trindade, A.Alexandre; Uryasev, Stan; Shapiro, Alexander; … - In: Journal of banking & finance 31 (2007) 11, pp. 3524

Persistent link: https://www.econbiz.de/10007869914

Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics

Chun, So Yeon; Shapiro, Alexander; Uryasev, Stan - In: Operations research : the journal of the Operations … 60 (2012) 4, pp. 739-757

Persistent link: https://www.econbiz.de/10010016249