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Optimizing Expected Shortfall under an ℓ(1) Constraint—An Analytic Approach
Expected Shortfall (ES), the average loss above a high quantile, is the current financial regulatory market risk measure. Its estimation and optimization are highly unstable against sample fluctuations and become impossible above a critical ratio [Formula: see text] , where N is the number of differ...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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MDPI
2021
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8146402/ https://www.ncbi.nlm.nih.gov/pubmed/33923328 http://dx.doi.org/10.3390/e23050523 |