Nonparametric versus parametric expected shortfall
R. Douglas Martin and Shengyu Zhang
| Year of publication: |
2019
|
|---|---|
| Authors: | Martin, R. Douglas ; Zhang, Shengyu |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 21.2018/2019, 6, p. 1-41
|
| Subject: | risk estimator | expected shortfall (ES) | maximum likelihood estimator (MLE) | influence functions | standard error | coherence | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2019.416 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012117478