Relative bound and asymptotic comparison of expectile with respect to expected shortfall
Mekonnen Tadese, Samuel Drapeau
| Year of publication: |
2020
|
|---|---|
| Authors: | Tadese, Mekonnen ; Drapeau, Samuel |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 93.2020, p. 387-399
|
| Subject: | Expected shortfall | Expectile | Extreme value | Risk measure | Value at risk | Risikomaß | Theorie | Theory | Portfolio-Management | Portfolio selection | Risiko | Risk | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2020.06.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012294144